Markov Regime Switching Copula Models Estimation and Goodness-of-Fit
Bootstrap function for a bivariate copula models
CopulaFamiliesCDF
COPULAPDF Probability density function for a copula.
Dilogarithm function
Estimation of bivariate Markov regime switching bivariate copula model
Sample Kendall's tau Estimation
Estimation of bivariate mixture bivariate copula model
Goodness-of-fit of Markov regime switching bivariate copula model
Goodness-of-fit of mixture bivariate copula model
Kendall's tau of a copula
Theta estimation
Alpha estimation
Rosenblatt transform for Clayton copula
Rosenblatt transform for Frank copula
Rosenblatt transform for Gaussian copula
Rosenblatt transform for Gumbel copula
Rosenblatt transform for Student copula
Simulation of bivariate Markov regime switching copula model
Markov chain simulation
Simulation of bivariate mixture copula model
Cramer-von Mises statistic SnB for GOF based on the Rosenblatt transfo...
Spearman's rho
Estimation procedures and goodness-of-fit test for several Markov regime switching models and mixtures of bivariate copula models. The goodness-of-fit test is based on a Cramer-von Mises statistic and uses Rosenblatt's transform and parametric bootstrap to estimate the p-value. The proposed methodologies are described in Nasri, Remillard and Thioub (2020) <doi:10.1002/cjs.11534>.