EstKendallTau

This function estimates the sample Kendall's tau of a bivariate data matrix

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>.

Bruno Remillard

HMMcopula

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

Romanic Pieugueu

EstKendallTau function

<dl><dt>X</dt>
<dd>(n x 2) matrix</dd></dl>

Arguments

Sample Kendall's tau Estimation — EstKendallTau

<dl>

<dt>X</dt>
<dd>(n x 2) matrix</dd>

</dl>

EstKendallTau: Sample Kendall's tau Estimation

Description

Usage

Value

Arguments