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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 |
| DOI: | 10.32614/CRAN.package.HMMcopula |
| 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 |
| Reference manual: | HMMcopula.pdf |
| 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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