Learn R Programming

IndGenErrors (version 0.1.6)

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) .

Copy Link

Version

Install

install.packages('IndGenErrors')

Monthly Downloads

174

Version

0.1.6

License

GPL (>= 2)

Maintainer

Bruno Remillard

Last Published

January 31st, 2025

Functions in IndGenErrors (0.1.6)

cvm_2series

Cramer-von Mises Moebius statistics for testing independence between the innovations of 2 series of same length
gas

Standardized residuals of weekly log-returns of gas and oil prices in Canada from 2008 to end of February 2011
crossdep_2series

Cross-dependences for testing independence between the innovations of 2 series of same length
CrossCorrelogram

Cross-correlogram
dependogram

Dependogram for Cramer-von Mises statistics
crosscor_2series

Cross-correlations for testing independence between the innovations of 2 series of same length
crossdep_3series

Cross-dependence statistics for testing independence between the innovations of 3 series of same length
cvm_3series

Cramer-von Mises Moebius statistics for testing independence between the innovations of 3 series of same length
crosscor_3series

Cross-correlations statistics for testing independence between the innovations of 3 series of same length
romano_ex

Simulated values of a Romano & Siegel example