kappa_test: CUMSUMQ test to test for changes in the unconditional...

In micss: Modified Iterative Cumulative Sum of Squares Algorithm

CUMSUMQ test to test for changes in the unconditional variance

Description

Computes the CUMSUMQ test to test for changes in the unconditional variance and reports the p-value adapted to the tail index and sample size

Usage

kappa_test(e,sig.lev=0.05,alpha=NULL,kmax=NULL)

Arguments

e	A numeric vector. Stationary variable on which the constancy of unconditional variance is tested.
sig.lev	Significance level. The default value is 0.05.
alpha	Tail index. Must be a number between 2 and 4. The default value is 4.
kmax	Maximum lag to be used for the estimation of the long-run fourth order moment. If not reported, an automatic procedure computes it depending on the sample size.

Details

It is only computed if the sample size is greater than 25 observations.

Value

kappa	CUMSUMQ test.
tb	Possible time of the break (with maximum value of the statistic).
cv	critical value at the specified significance level.
p.val	p-value.

Author(s)

J.L. Carrion-i-Silvestre and A. Sanso.

References

J.L. Carrion-i-Silvestre & A. Sansó (2023): Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series.

See Also

micss

Examples

data(logReturnsRandDollar)
e <- whitening(data$rand.dollar)$e # whitening
kappa_test(e)

micss documentation built on Sept. 11, 2024, 6:46 p.m.