Package: HMMcopula 1.1.0

Bruno N Remillard

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>.

Authors:Bouchra R. Nasri [aut], Bruno N Remillard [aut, cre, cph], Mamadou Yamar Thioub [aut], Romanic Pieugueu [aut]

HMMcopula_1.1.0.tar.gz
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HMMcopula_1.1.0.tgz(r-4.4-emscripten)HMMcopula_1.1.0.tgz(r-4.3-emscripten)
HMMcopula.pdf |HMMcopula.html✨
HMMcopula/json (API)

# Install 'HMMcopula' in R:
install.packages('HMMcopula', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 stars 180 downloads 22 exports 15 dependencies

Last updated 6 months agofrom:cbfcb608d8. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKApr 01 2025
R-4.5-linuxOKApr 01 2025
R-4.4-linuxOKApr 01 2025

Exports:bootstrapfunCopulaFamiliesCDFcopulaFamiliesPDFdilogEstHMMCopEstKendallTauEstMixtureCopGofHMMCopGofMixtureCopKendallTauParamCopParamTauRosenblattClaytonRosenblattFrankRosenblattGaussianRosenblattGumbelRosenblattStudentSimHMMCopSimMarkovChainSimMixtureCopSnBTau2Rho

Dependencies:ADGofTestcodetoolscolorspacecopuladoParallelforeachgsliteratorslatticeMatrixmvtnormnumDerivpcaPPpsplinestabledist

Citation

To cite package ‘HMMcopula’ in publications use:

Nasri BR, Remillard BN, Thioub MY, Pieugueu R (2024). HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness-of-Fit. R package version 1.1.0, https://CRAN.R-project.org/package=HMMcopula.

Corresponding BibTeX entry: 

  @Manual{,
    title = {HMMcopula: Markov Regime Switching Copula Models
      Estimation and Goodness-of-Fit},
    author = {Bouchra R. Nasri and Bruno N Remillard and Mamadou Yamar
      Thioub and Romanic Pieugueu},
    year = {2024},
    note = {R package version 1.1.0},
    url = {https://CRAN.R-project.org/package=HMMcopula},
  }