Package: IndGenErrors 0.1.4

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_0.1.4.tar.gz
IndGenErrors_0.1.4.tar.gz(r-4.5-noble)IndGenErrors_0.1.4.tar.gz(r-4.4-noble)
IndGenErrors_0.1.4.tgz(r-4.4-emscripten)IndGenErrors_0.1.4.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'))

Peer review:

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 159 downloads 6 exports 28 dependencies

Last updated 1 years agofrom:3f0085062a. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 11 2024
R-4.5-linux-x86_64OKNov 11 2024

Exports:crosscor_2seriescrosscor_3seriesCrossCorrelogramcvm_2seriescvm_3seriesDependogram

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerrlangscalestibbleutf8vctrsviridisLitewithr