IndGenErrors

Authors Bouchra R. Nasri, Kilani Ghoudi, P. Duchesne, Bruno N Remillard

Last update 30 June 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

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>.

Cites work

On testing for independence between the innovations of several time series

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