Tests of Independence Between Innovations of Generalized Error Models
Cross-correlations for testing independence between the innovations of...
Cross-correlations statistics for testing independence between the inn...
Cross-correlogram
Cross-dependences for testing independence between the innovations of ...
Cross-dependence statistics for testing independence between the innov...
Cramer-von Mises Moebius statistics for testing independence between t...
Cramer-von Mises Moebius statistics for testing independence between t...
Dependogram for Cramer-von Mises statistics
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>.