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>.

Version: 0.1.4
Depends: R (≥ 3.5.0), stats
Imports: ggplot2
Published: 2023-06-30
DOI: 10.32614/CRAN.package.IndGenErrors
Author: Kilani ghoudi [aut, ctb, cph], Bouchra R. Nasri [aut, ctb, cph], Bruno N Remillard [aut, cre, cph], Pierre Duchesne [aut, ctb, cph]
Maintainer: Bruno N Remillard <bruno.remillard at hec.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: IndGenErrors results

Documentation:

Reference manual: IndGenErrors.pdf

Downloads:

Package source: IndGenErrors_0.1.4.tar.gz
Windows binaries: r-devel: IndGenErrors_0.1.4.zip, r-release: IndGenErrors_0.1.4.zip, r-oldrel: IndGenErrors_0.1.4.zip
macOS binaries: r-release (arm64): IndGenErrors_0.1.4.tgz, r-oldrel (arm64): IndGenErrors_0.1.4.tgz, r-release (x86_64): IndGenErrors_0.1.4.tgz, r-oldrel (x86_64): IndGenErrors_0.1.4.tgz

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