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HMMcopula
View on CRAN: Click
here
Download and install HMMcopula package within the R console
Install from CRAN:
install.packages("HMMcopula")
Install from Github:
library("remotes")
install_github("cran/HMMcopula") Install by package version:
library("remotes")
install_version("HMMcopula", "1.1.0") Attach the package and use:
library("HMMcopula")
Maintained by
Bruno N Remillard
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-10-28
Latest Update: 2024-10-02
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.
How to cite:
Bruno N Remillard (2018). HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness-of-Fit. R package version 1.1.0, https://cran.r-project.org/web/packages/HMMcopula. Accessed 04 Jun. 2026.
Previous versions and publish date:
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imports, suggests or enhances
Complete documentation for HMMcopula
Functions, R codes and Examples using
the HMMcopula R package
Some associated functions: EstHMMCop . EstKendallTau . EstMixtureCop . GofHMMCop . GofMixtureCop . KendallTau . ParamCop . ParamTau . RosenblattClayton . RosenblattFrank . RosenblattGaussian . RosenblattGumbel . RosenblattStudent . SimHMMCop . SimMarkovChain . SimMixtureCop . SnB . Tau2Rho . bootstrapfun . copulaFamiliesPDF . dilog .
Some associated R codes: EstHMMCop.R . EstKendallTau.R . EstMixtureCop.R . GofHMMCop.R . GofMixtureCop.R . KendallTau.R . ParamCop.R . ParamTau.R . RosenblattClayton.R . RosenblattFrank.R . RosenblattGaussian.R . RosenblattGumbel.R . RosenblattStudent.R . SimHMMCop.R . SimMarkovChain.R . SimMixtureCop.R . SnB.R . Tau2Rho.R . bootstrapfun.R . copulaFamiliesPDF.R . dilog.R . Full HMMcopula package functions and examples
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