HMMcopula
Markov Regime Switching Copula Models Estimation and Goodness-of-Fit
v1.1.0
·
Oct 2, 2024
·
GPL (>= 2)
Description
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>.
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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1.1.0
Mar 9, 2026