micss: Modiffied Iterative Cumulative Sum of Squares Algorithm

In micss: Modified Iterative Cumulative Sum of Squares Algorithm

Modiffied Iterative Cumulative Sum of Squares Algorithm

Description

Implements the MICSS algorithm of Carrion-i-Silvestre & Sansó (2023).

Usage

micss(e,sig.lev=0.05,kmax=NULL,alpha=NULL,tail.est="NR",k=0.1)

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.
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.
alpha	Tail index. If not reported, it is estimated automatically.
tail.est	Estimator of the tail index. The default value is "NR", which uses Nicolau & Rodrigues (2019) estimator. "Hill" uses the Hill's (1975) estimator.
k	Fraction of the upper tail to be used to estimate of the tail index. The default value is 0.1.

Details

The tail index is estimated using the absolute values.

Value

icss	An object with the output of the icss algorithm.
alpha	An object with the output of the estimate.alpha.

Author(s)

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

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.

B. Hill (1975): A Simple General Approach to Inference About the Tail of a Distribution. The Annals of Mathematical Statistics 3, 1163-1174.

J. Nicolau & P.M.M. Rodrigues (2019): A new regression-based tail index estimator. The Review of Economics and Statistics 101, 667-680.

See Also

icss estimate.alpha print.micss plot.icss

Examples

set.seed(2)
e <- c(stats::rnorm(200),3*stats::rnorm(200))
o <- micss(e)
print.micss(o)

# The following example replicates some of the results of Table 6 in
# Carrion-i-Silvestres & Sanso (2023)
data(logReturnsRandDollar)
e <- whitening(data$rand.dollar)$e  # pre-whitening
m <- micss(e)
print.micss(m)

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