IndGenErrors (Q5983829)
From MaRDI portal
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>.
0 references
30 June 2023
0 references
expanded from: GPL (≥ 2) (English)
0 references