Package: IndGenErrors 0.1.6

Bruno N Remillard

IndGenErrors: Tests of Independence Between Innovations of Generalized Error Models

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>.

Authors:Kilani Ghoudi [aut, ctb, cph], Bouchra R. Nasri [aut, ctb, cph], Bruno N Remillard [aut, cre, cph], Pierre Duchesne [aut, ctb, cph]

IndGenErrors_0.1.6.tar.gz
IndGenErrors_0.1.6.tar.gz(r-4.5-noble)IndGenErrors_0.1.6.tar.gz(r-4.4-noble)
IndGenErrors_0.1.6.tgz(r-4.4-emscripten)IndGenErrors_0.1.6.tgz(r-4.3-emscripten)
IndGenErrors.pdf |IndGenErrors.html✨
IndGenErrors/json (API)

# Install 'IndGenErrors' in R:
install.packages('IndGenErrors', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • gas - Standardized residuals of weekly log-returns of gas and oil prices in Canada from 2008 to end of February 2011
  • romano_ex - Simulated values of a Romano & Siegel example

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 299 downloads 8 exports 48 dependencies

Last updated 2 months agofrom:a061e10b77. Checks:2 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 02 2025
R-4.5-linux-x86_64OKMar 02 2025

Exports:crosscor_2seriescrosscor_3seriesCrossCorrelogramcrossdep_2seriescrossdep_3seriescvm_2seriescvm_3seriesdependogram

Dependencies:ADGofTestclicodetoolscolorspacecopulaDBIdoParallelfansifarverforeachggplot2gluegslgtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvminqamitoolsMixedIndTestsmunsellmvtnormnlmenumDerivpcaPPpillarpkgconfigpsplineR6RColorBrewerRcppRcppArmadillorlangscalesstabledistsurveysurvivaltibbleutf8vctrsviridisLitewithr