bootstrapfun {HMMcopula} | R Documentation |
Bootstrapping function needed for parallel computing
bootstrapfun(Q, family, tau, n, df, max_iter, eps, HMM)
Q |
Weights vector (1 x reg or component); |
family |
'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel' |
tau |
Kendall's rank correlation |
n |
number of simulated vectors |
df |
vector of degree of freedom (d x 1), only for the Student copula. |
max_iter |
maximum number of iterations for estimation |
eps |
precision (e.g 0.00001); |
HMM |
1 (if HMM) , 0 (if mixture); |
theta1 |
Estimated copula parameters |
Q1 |
Estimated transition matrix |
eta1 |
Estimated probabilites for regimes |
tau1 |
Estimated Kendall's tau |
dof1 |
Estimated degrees of freedom for the Student copula |
Usim |
Estimated pseudo-observations |
cvm_sim |
Estimated Cramer-von Mises statistic |
Mamadou Yamar Thioub and Bruno Remillard, April 12, 2018