Package: micss 0.2.0

micss: Modified Iterative Cumulative Sum of Squares Algorithm

Companion package of Carrion-i-Silvestre & Sansó (2023): "Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series". It implements the Modified Iterative Cumulative Sum of Squares Algorithm, which is an extension of the Iterative Cumulative Sum of Squares (ICSS) Algorithm of Inclan and Tiao (1994), and it checks for changes in the unconditional variance of a time series controlling for the tail index of the underlying distribution. The fourth order moment is estimated non-parametrically to avoid the size problems when the innovations are non-Gaussian (see, Sansó et al., 2004). Critical values and p-values are generated using a Generalized Extreme Value distribution approach. References Carrion-i-Silvestre J.J & Sansó A (2023) <https://www.ub.edu/irea/working_papers/2023/202309.pdf>. Inclan C & Tiao G.C (1994) <doi:10.1080/01621459.1994.10476824>, Sansó A & Aragó V & Carrion-i-Silvestre J.L (2004) <https://dspace.uib.es/xmlui/bitstream/handle/11201/152078/524035.pdf>.

Authors:Josep Lluís Carrion-i-Silvestre [aut], Andreu Sansó [aut, cre]

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micss.pdf |micss.html
micss/json (API)
NEWS

# Install 'micss' in R:
install.packages('micss', repos = c('https://andreusanso.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • data - Data used in the examples

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 scripts 161 downloads 13 exports 16 dependencies

Last updated 3 months agofrom:47db439951. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 22 2024
R-4.5-winOKOct 22 2024
R-4.5-linuxOKOct 22 2024
R-4.4-winOKOct 22 2024
R-4.4-macOKOct 22 2024
R-4.3-winOKOct 22 2024
R-4.3-macOKOct 22 2024

Exports:alpha_hillalpha_nrcv.kappaestimate.alphaicsskappa_testlrv.spc.bartlettmicssp.val.kappaplot.icssprint.icssprint.micsswhitening

Dependencies:clidplyrfansigenericsgluelifecyclemagrittrpillarpkgconfigR6rlangtibbletidyselectutf8vctrswithr