MixedIndTests

swMATH43852CRANMixedIndTestsMaRDI QIDQ1350285

Tests of Randomness and Tests of Independence

Christian Genest, Bouchra R. Nasri, Bruno N Remillard, Johanna G Neslehova

Last update: 14 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.1.0, 0.1.4, 0.1.5, 0.7.0, 0.8.0, 0.9.1, 1.2.0

Source code repository: https://github.com/cran/MixedIndTests

Description

Functions for testing randomness for a univariate time series with arbitrary distribution (discrete, continuous, mixture of both types) and for testing independence between random variables with arbitrary distributions. The test statistics are based on the multilinear empirical copula and multipliers are used to compute P-values. The test of independence between random variables appeared in Genest, Nešlehová, Rémillard & Murphy (2019) and the test of randomness appeared in Nasri (2022).