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.zip(r-4.7-x86_64)IndGenErrors_0.1.6.zip(r-4.7-arm64)IndGenErrors_0.1.6.zip(r-4.6-x86_64)IndGenErrors_0.1.6.zip(r-4.6-arm64)
IndGenErrors_0.1.6.tar.gz(r-4.7-arm64)IndGenErrors_0.1.6.tar.gz(r-4.7-x86_64)IndGenErrors_0.1.6.tar.gz(r-4.6-arm64)IndGenErrors_0.1.6.tar.gz(r-4.6-x86_64)
IndGenErrors_0.1.6.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
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 277 downloads 8 exports 41 dependencies

Last updated from:a061e10b77. Checks:10 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK163
linux-devel-x86_64OK163
source / vignettesOK208
linux-release-arm64OK146
linux-release-x86_64OK168
windows-devel-arm64OK216
windows-devel-x86_64OK169
windows-release-arm64OK255
windows-release-x86_64OK132
wasm-releaseOK129

Exports:crosscor_2seriescrosscor_3seriesCrossCorrelogramcrossdep_2seriescrossdep_3seriescvm_2seriescvm_3seriesdependogram

Dependencies:ADGofTestcliclustercodetoolscolorspacecopulacpp11DBIdoParallelfarverforeachggplot2gluegslgtableisobanditeratorslabelinglatticelifecycleMatrixminqamitoolsMixedIndTestsmvtnormnumDerivpcaPPpsplineR6RColorBrewerRcppRcppArmadillorlangS7scalesstabledistsurveysurvivalvctrsviridisLitewithr