Functions for non-parametric tests of independence (mutual or serial) between some quantitative random vectors, as described in Bilodeau M. and Lafaye de Micheaux P. (2009) <doi:10.1016/j.jspi.2008.11.006>, in Beran R., Bilodeau M. and Lafaye de Micheaux P. (2007) <doi:10.1016/j.jmva.2007.01.009> and in Fan Y., Lafaye de Micheaux P., Penev S. and Salopek D. (2017) <doi:10.1016/j.jmva.2016.09.014>.
R (>= 2.6.0), xtable, CompQuadForm, MASS, Runuran, parallel

KernSmooth, fGarch, lubridate, xts, RcppBDT, zoo
Derivation of indexes for benchmarking purposes. The methodology of the CRyptocurrency IndeX (CRIX) family with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.

Derivation of indexes for benchmarking purposes. A methodology with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The main function of the package, indexComp(), provides the derived index, suitable for analysis purposes. The functions indexUpdate(), indexMemberSelection() and indexMembersUpdate() are components of indexComp() and enable one to construct and continuously update an index, e.g. for display on a website. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.

Computes bilateral and multilateral index numbers.
It has support for several standard bilateral indices as well as
the GEKS multilateral index number methods
(see Ivancic, Diewert and Fox (2011) <doi:10.1016/j.jeconom.2010.09.003>) .
It also supports updating of GEKS indexes using several splicing methods.

Computes bilateral and multilateral index numbers.
It has support for many standard bilateral indexes as well as
multilateral index number methods such as GEKS, GEKS-Tornqvist
(or CCDI), Geary-Khamis and the weighted time product dummy
(for details on these methods see Diewert and Fox (2020)
<doi:10.1080/07350015.2020.1816176>).
It also supports updating of multilateral indexes using
several splicing methods.