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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>.
Getting started
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Package details |
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| 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@hec.ca> |
| License | GPL (>= 2) |
| Version | 0.1.4 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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