IndGenErrors
Tests of Independence Between Innovations of Generalized Error Models
Computation of test statistics of independence between (continuous) innovations of time series. They can be used with stochastic volatility models and Hidden Markov Models (HMM). This improves the results in Duchesne, Ghoudi & Remillard (2012) doi:10.1002/cjs.11141.
- Version0.1.6
- R versionR (≥ 3.5.0)
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release01/31/2025
Team
Bruno N Remillard
MaintainerShow author detailsKilani ghoudi
Show author detailsRolesAuthor, Contributor, Copyright holderPierre Duchesne
Show author detailsRolesAuthor, Contributor, Copyright holderBouchra R. Nasri
Show author detailsRolesAuthor, Contributor, Copyright holderKilani Ghoudi
Show author detailsRolesAuthor, Contributor, Copyright holder
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- Imports2 packages