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

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

1.00 score 180 downloads 8 exports 48 dependencies

Last updated 20 days agofrom:a061e10b77. Checks:2 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKJan 31 2025
R-4.5-linux-x86_64OKJan 31 2025

Exports:crosscor_2seriescrosscor_3seriesCrossCorrelogramcrossdep_2seriescrossdep_3seriescvm_2seriescvm_3seriesdependogram

Dependencies:ADGofTestclicodetoolscolorspacecopulaDBIdoParallelfansifarverforeachggplot2gluegslgtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvminqamitoolsMixedIndTestsmunsellmvtnormnlmenumDerivpcaPPpillarpkgconfigpsplineR6RColorBrewerRcppRcppArmadillorlangscalesstabledistsurveysurvivaltibbleutf8vctrsviridisLitewithr