IndGenErrors (Q5983829)
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Tests of Independence Between Innovations of Generalized Error Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | IndGenErrors |
Tests of Independence Between Innovations of Generalized Error Models |
Statements
expanded from: GPL (≥ 2) (English)
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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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31 January 2025
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