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:
micss_0.2.0.tar.gz
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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')) |
- data - Data used in the examples
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 months agofrom:47db439951. Checks:OK: 7. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 21 2024 |
R-4.5-win | OK | Nov 21 2024 |
R-4.5-linux | OK | Nov 21 2024 |
R-4.4-win | OK | Nov 21 2024 |
R-4.4-mac | OK | Nov 21 2024 |
R-4.3-win | OK | Nov 21 2024 |
R-4.3-mac | OK | Nov 21 2024 |
Exports:alpha_hillalpha_nrcv.kappaestimate.alphaicsskappa_testlrv.spc.bartlettmicssp.val.kappaplot.icssprint.icssprint.micsswhitening
Dependencies:clidplyrfansigenericsgluelifecyclemagrittrpillarpkgconfigR6rlangtibbletidyselectutf8vctrswithr
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Hill's estimator of the tail index | alpha_hill |
Nicolau & Rodrigues estimator of the tail index | alpha_nr |
Data used in the examples | data |
Iterative Cumulative Sum of Squares Algorithm | icss |
CUMSUMQ test to test for changes in the unconditional variance | kappa_test |
Data used in the examples | logReturnsRandDollar |
lrv.spc.bartlett | lrv.spc.bartlett |
Modiffied Iterative Cumulative Sum of Squares Algorithm | micss |
plot.icss | plot.icss |
print.icss | print.icss |
print.micss | print.micss |
Whitening | whitening |