Markov Regime Switching Copula Models Estimation and Goodness-of-Fit

---

Documentation for package ‘HMMcopula’ version 1.1.0

• DESCRIPTION file.

Help Pages

CopulaFamiliesCDF	CopulaFamiliesCDF
dilog	Dilogarithm function
EstHMMCop	Estimation of bivariate Markov regime switching bivariate copula model
EstKendallTau	Sample Kendall's tau Estimation
EstMixtureCop	Estimation of bivariate mixture bivariate copula model
GofHMMCop	Goodness-of-fit of Markov regime switching bivariate copula model
GofMixtureCop	Goodness-of-fit of mixture bivariate copula model
KendallTau	Kendall's tau of a copula
ParamCop	Theta estimation
ParamTau	Alpha estimation
RosenblattClayton	Rosenblatt transform for Clayton copula
RosenblattFrank	Rosenblatt transform for Frank copula
RosenblattGaussian	Rosenblatt transform for Gaussian copula
RosenblattGumbel	Rosenblatt transform for Gumbel copula
RosenblattStudent	Rosenblatt transform for Student copula
SimHMMCop	Simulation of bivariate Markov regime switching copula model
SimMarkovChain	Markov chain simulation
SimMixtureCop	Simulation of bivariate mixture copula model
SnB	Cramer-von Mises statistic SnB for GOF based on the Rosenblatt transform
Tau2Rho	Spearman's rho