MixedIndTests (Q1350285)
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Tests of Randomness and Tests of Independence
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | MixedIndTests |
Tests of Randomness and Tests of Independence |
Statements
14 February 2024
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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).
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Bruno N Remillard
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Johanna G Neslehova
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Christian Genest
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