r-IndGenErrors

Description

Tests of Independence Between Innovations of Generalized Error Models.

Description

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>.

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Version

0.1.4

License

Unknown

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Platforms75 (75)

Platforms (75)