Tests of Independence Between Innovations of Generalized Error Models

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Documentation for package ‘IndGenErrors’ version 0.1.4

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CrossCorrelogram Cross-correlogram
crosscor_2series Cross-correlations for testing independence between the innovations of 2 series of same length
crosscor_3series Cross-correlations statistics for testing independence between the innovations of 3 series of same length
cvm_2series Cramer-von Mises Moebius statistics for testing independence between the innovations of 2 series of same length
cvm_3series Cramer-von Mises Moebius statistics for testing independence between the innovations of 3 series of same length
Dependogram Dependogram for Cramer-von Mises statistics
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