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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.1.0 |
rolling source/ R- | HMMcopula_1.1.0.tar.gz |
17.3 KiB |
1.1.0 |
rolling linux/jammy R-4.5 | HMMcopula_1.1.0.tar.gz |
111.4 KiB |
1.1.0 |
rolling linux/noble R-4.5 | HMMcopula_1.1.0.tar.gz |
111.2 KiB |
1.1.0 |
latest source/ R- | HMMcopula_1.1.0.tar.gz |
17.3 KiB |
1.1.0 |
latest linux/jammy R-4.5 | HMMcopula_1.1.0.tar.gz |
111.4 KiB |
1.1.0 |
latest linux/noble R-4.5 | HMMcopula_1.1.0.tar.gz |
111.2 KiB |
1.1.0 |
2026-04-23 source/ R- | HMMcopula_1.1.0.tar.gz |
17.3 KiB |
1.1.0 |
2026-04-09 windows/windows R-4.5 | HMMcopula_1.1.0.zip |
114.6 KiB |
1.1.0 |
2025-04-20 source/ R- | HMMcopula_1.1.0.tar.gz |
17.3 KiB |