RosenblattGaussian

Computation of the Rosenblatt transform for the Gaussian copula

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

RosenblattGaussian function

<dl><dt>u</dt>
<dd>(n x d) matrix of pseudos-observations (normalized ranks)</dd>
<dt>rho</dt>
<dd>(d x d) correlation matrix, or the correlation coefficient (if, d = 2)</dd></dl>

Arguments

Rosenblatt transform for Gaussian copula — RosenblattGaussian

<dl>

<dt>u</dt>
<dd>(n x d) matrix of pseudos-observations (normalized ranks)</dd>


<dt>rho</dt>
<dd>(d x d) correlation matrix, or the correlation coefficient (if, d = 2)</dd>

</dl>

RosenblattGaussian: Rosenblatt transform for Gaussian copula

Description

Usage

Value

Arguments