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HMMcopula  

Markov Regime Switching Copula Models Estimation and Goodness-of-Fit
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]
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:
1.0.1 (2018-10-28 23:30), 1.0.2 (2018-11-14 06:30), 1.0.3 (2018-12-01 12:30), 1.0.4 (2020-04-21 09:50)
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Complete documentation for HMMcopula
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