sr_loc: sr_loc
In micss: Modified Iterative Cumulative Sum of Squares Algorithm
sr_loc R Documentation
sr_loc
Description
Computes the location parameter for the GEV approximation
to the distribution of kappa_test statistic
Usage
sr_loc(t, alpha, lmax = NULL)
Arguments
t
Sample size
alpha
Value of the tail index between 2 and 4
lmax
Maximum lag to be used for the long-run estimation of the fourth order moment of the
innovations. If not specified it is generated automatically depending on the sample size.
Details
used internally by cv.kappa and p.val.kappa
Value
Location parameter
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.
micss documentation built on Sept. 11, 2024, 6:46 p.m.
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| sr_loc | R Documentation |
sr_loc
Description
Computes the location parameter for the GEV approximation to the distribution of kappa_test statistic
Usage
sr_loc(t, alpha, lmax = NULL)
Arguments
t |
Sample size |
alpha |
Value of the tail index between 2 and 4 |
lmax |
Maximum lag to be used for the long-run estimation of the fourth order moment of the innovations. If not specified it is generated automatically depending on the sample size. |
Details
used internally by cv.kappa and p.val.kappa
Value
Location parameter
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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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