IndGenErrors (Q5983829)
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Tests of Independence Between Innovations of Generalized Error Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IndGenErrors |
Tests of Independence Between Innovations of Generalized Error Models |
Statements
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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30 June 2023
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expanded from: GPL (≥ 2) (English)
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