IndGenErrors

Tests of Independence Between Innovations of Generalized Error Models

Kilani Ghoudi, Pierre Duchesne, Bouchra R. Nasri, Bruno N Remillard

Last update: 30 June 2023

Software version identifier: 0.1.4

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