HMMcopula (Q44485)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Markov Regime Switching Copula Models Estimation and Goodness-of-Fit
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | HMMcopula |
Markov Regime Switching Copula Models Estimation and Goodness-of-Fit |
Statements
expanded from: GPL (≥ 2) (English)
0 references
2 October 2024
0 references
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>.
0 references
Romanic Pieugueu
0 references
