Package: HMMcopula
Type: Package
Title: Markov Regime Switching Copula Models Estimation and Goodness of
        Fit
Version: 1.0.4
Author: Mamadou Yamar Thioub <mamadou-yamar.thioub@hec.ca>, 
    Bouchra Nasri <bouchra.nasri@umontreal.ca>, 
    Romanic Pieugueu <romanic.pieugueu@gerad.ca>, and
    Bruno Remillard <bruno.remillard@hec.ca>
Maintainer: Mamadou Yamar Thioub <mamadou-yamar.thioub@hec.ca>
Description: 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.
License: GPL (>= 2)
Encoding: UTF-8
LazyData: true
Depends: matrixcalc, mvtnorm, foreach, doParallel, copula
Imports: stats
RoxygenNote: 6.1.1
NeedsCompilation: no
Packaged: 2020-04-21 07:33:48 UTC; 49009427
Repository: CRAN
Date/Publication: 2020-04-21 07:50:02 UTC
Built: R 4.4.0; ; 2024-05-06 03:04:32 UTC; unix
