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 = '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 167 downloads 8 exports 48 dependencies

Last updated 2 months agofrom:a061e10b77. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKApr 01 2025
R-4.5-linux-x86_64OKApr 01 2025
R-4.4-linux-x86_64OKApr 01 2025

Exports:crosscor_2seriescrosscor_3seriesCrossCorrelogramcrossdep_2seriescrossdep_3seriescvm_2seriescvm_3seriesdependogram

Dependencies:ADGofTestclicodetoolscolorspacecopulaDBIdoParallelfansifarverforeachggplot2gluegslgtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvminqamitoolsMixedIndTestsmunsellmvtnormnlmenumDerivpcaPPpillarpkgconfigpsplineR6RColorBrewerRcppRcppArmadillorlangscalesstabledistsurveysurvivaltibbleutf8vctrsviridisLitewithr

Citation

To cite package ‘IndGenErrors’ in publications use:

Ghoudi K, Nasri BR, Remillard BN, Duchesne P (2025). IndGenErrors: Tests of Independence Between Innovations of Generalized Error Models. R package version 0.1.6, https://CRAN.R-project.org/package=IndGenErrors.

Corresponding BibTeX entry: 

  @Manual{,
    title = {IndGenErrors: Tests of Independence Between Innovations of
      Generalized Error Models},
    author = {Kilani Ghoudi and Bouchra R. Nasri and Bruno N Remillard
      and Pierre Duchesne},
    year = {2025},
    note = {R package version 0.1.6},
    url = {https://CRAN.R-project.org/package=IndGenErrors},
  }