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
HMMcopula_1.1.0.zip(r-4.7-any)HMMcopula_1.1.0.zip(r-4.6-any)
HMMcopula_1.1.0.tar.gz(r-4.7-any)HMMcopula_1.1.0.tar.gz(r-4.6-any)
HMMcopula_1.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
HMMcopula/json (API)

# Install 'HMMcopula' in R:
install.packages('HMMcopula', repos = c('https://cran.r-universe.dev', '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 4 scripts 294 downloads 22 exports 16 dependencies

Last updated from:cbfcb608d8. Checks:6 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK150
source / vignettesOK259
linux-releaseOK148
windows-develOK92
windows-releaseOK83
wasm-releaseOK135

Exports:bootstrapfunCopulaFamiliesCDFcopulaFamiliesPDFdilogEstHMMCopEstKendallTauEstMixtureCopGofHMMCopGofMixtureCopKendallTauParamCopParamTauRosenblattClaytonRosenblattFrankRosenblattGaussianRosenblattGumbelRosenblattStudentSimHMMCopSimMarkovChainSimMixtureCopSnBTau2Rho

Dependencies:ADGofTestclustercodetoolscolorspacecopuladoParallelforeachgsliteratorslatticeMatrixmvtnormnumDerivpcaPPpsplinestabledist