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.

Version: 1.0.4
Depends: matrixcalc, mvtnorm, foreach, doParallel, copula
Imports: stats
Published: 2020-04-21
Author: Mamadou Yamar Thioub, Bouchra Nasri, Romanic Pieugueu, and Bruno Remillard
Maintainer: Mamadou Yamar Thioub <mamadou-yamar.thioub at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: HMMcopula results


Reference manual: HMMcopula.pdf


Package source: HMMcopula_1.0.4.tar.gz
Windows binaries: r-prerel:, r-release:, r-oldrel:
macOS binaries: r-prerel (arm64): HMMcopula_1.0.4.tgz, r-release (arm64): HMMcopula_1.0.4.tgz, r-oldrel (arm64): HMMcopula_1.0.4.tgz, r-prerel (x86_64): HMMcopula_1.0.4.tgz, r-release (x86_64): HMMcopula_1.0.4.tgz
Old sources: HMMcopula archive


Please use the canonical form to link to this page.