R package HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness of Fit. R functions to estimate and perform goodness of fit test for several Markov regime switching and mixture bivariate copula models. The goodness of fit test is based on a Cramer von Mises statistic and uses the Rosenblatt transform and parametric bootstrap to estimate the p-value. The estimation of the copula parameters are based on the pseudo-maximum likelihood method using pseudo-observations defined as normalized ranks.
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References in zbMATH (referenced in 1 article )
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- Nasri, Bouchra R.; Rémillard, Bruno N.; Thioub, Mamadou Y.: Goodness-of-fit for regime-switching copula models with application to option pricing (2020)