IndGenErrors (Q5983829): Difference between revisions
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Revision as of 14:16, 7 March 2024
Tests of Independence Between Innovations of Generalized Error Models
Language | Label | Description | Also known as |
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English | IndGenErrors |
Tests of Independence Between Innovations of Generalized Error Models |
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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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