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>.

Version: 0.1.5
Depends: R (≥ 3.5.0), dplyr
Imports: methods
Suggests: testthat (≥ 3.0.0)
Published: 2023-08-16
Author: Josep Lluís Carrion-i-Silvestre [aut], Andreu Sansó [aut, cre]
Maintainer: Andreu Sansó <andreu.sanso at uib.eu>
License: GPL-2
NeedsCompilation: no
Citation: micss citation info
CRAN checks: micss results

Documentation:

Reference manual: micss.pdf

Downloads:

Package source: micss_0.1.5.tar.gz
Windows binaries: r-devel: micss_0.1.5.zip, r-release: micss_0.1.5.zip, r-oldrel: micss_0.1.5.zip
macOS binaries: r-release (arm64): micss_0.1.5.tgz, r-oldrel (arm64): micss_0.1.5.tgz, r-release (x86_64): micss_0.1.5.tgz

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