MixedIndTests

Authors Christian Genest, Bouchra R. Nasri, Bruno N Remillard, Johanna G Neslehova

Last update 14 February 2024

Copyright license GNU General Public License, version 3.0

Software version identifier 1.1.0, 0.1.4, 0.1.5, 0.7.0, 0.8.0, 0.9.1, 1.2.0

Official website https://cran.r-project.org/web/packages/MixedIndTests/index.html

Source code repository https://github.com/cran/MixedIndTests

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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