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David
  • Member for 10 years, 8 months
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Calculating the transfer entropy in R
Unfortunately, the TransferEntropy package is archived as the authors did not provide fixes to some breaking issues.
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Stationarity Tests in R, checking mean, variance and covariance
Thats a valuable comment, thanks for it! Nonetheless, are you aware of tests that look at the variance?
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Stationarity Tests in R, checking mean, variance and covariance
If you look at the question on stackoverflow (stackoverflow.com/questions/33522442/…), you'll see that they are not GARCH, but are random draws from normal distributions with changing (jumping, increasing and quadratic) standard-deviations.
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