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:
HMMcopula_1.1.0.tar.gz
HMMcopula_1.1.0.tar.gz(r-4.5-noble)HMMcopula_1.1.0.tar.gz(r-4.4-noble)
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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 2 months agofrom:cbfcb608d8. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 02 2024 |
| R-4.5-linux | OK | Nov 02 2024 |
Exports:bootstrapfunCopulaFamiliesCDFcopulaFamiliesPDFdilogEstHMMCopEstKendallTauEstMixtureCopGofHMMCopGofMixtureCopKendallTauParamCopParamTauRosenblattClaytonRosenblattFrankRosenblattGaussianRosenblattGumbelRosenblattStudentSimHMMCopSimMarkovChainSimMixtureCopSnBTau2Rho
Dependencies:ADGofTestcodetoolscolorspacecopuladoParallelforeachgsliteratorslatticeMatrixmvtnormnumDerivpcaPPpsplinestabledist
