IndGenErrors
Tests of Independence Between Innovations of Generalized Error Models
v0.1.6
·
Jan 31, 2025
·
GPL (>= 2)
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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