HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness-of-Fit

Estimation procedures and goodness-of-fit test for several Markov regime switching models and mixtures of bivariate copula models. The goodness-of-fit test is based on a Cramer-von Mises statistic and uses Rosenblatt's transform and parametric bootstrap to estimate the p-value. The proposed methodologies are described in Nasri, Remillard and Thioub (2020) <doi:10.1002/cjs.11534>.

Version: 1.1.0
Depends: mvtnorm, foreach, doParallel, copula
Published: 2024-10-02
Author: Bouchra R. Nasri [aut], Bruno N Remillard [aut, cre, cph], Mamadou Yamar Thioub [aut], Romanic Pieugueu [aut]
Maintainer: Bruno N Remillard <bruno.remillard at hec.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: HMMcopula results

Documentation:

Reference manual: HMMcopula.html , HMMcopula.pdf

Downloads:

Package source: HMMcopula_1.1.0.tar.gz
Windows binaries: r-devel: HMMcopula_1.1.0.zip, r-release: HMMcopula_1.1.0.zip, r-oldrel: HMMcopula_1.1.0.zip
macOS binaries: r-release (arm64): HMMcopula_1.1.0.tgz, r-oldrel (arm64): HMMcopula_1.1.0.tgz, r-release (x86_64): HMMcopula_1.1.0.tgz, r-oldrel (x86_64): HMMcopula_1.1.0.tgz
Old sources: HMMcopula archive

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