step3: step3
In micss: Modified Iterative Cumulative Sum of Squares Algorithm
step3 R Documentation
step3
Description
Computes step 3 of the icss Algorithm.
Usage
step3(e, bb, sig.lev, kmax, alpha)
Arguments
e
Stationary variable on which the constancy of unconditional variance is tested.
bb
The output of step2c, A list with the number of break and the time of the breaks.
sig.lev
Significance level.
kmax
Maximum lag to be used for the long-run estimation of the fourth order moment of the innovations.
alpha
Tail index.
Details
Used internally by icss.
Value
-
nb: Number of breaks.
-
tb: Time of the breaks.
References
C. Inclan & G.C. Tiao (1994): Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance. Journal of the American Statistical Association 89, 913-923.
micss documentation built on Sept. 11, 2024, 6:46 p.m.
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| step3 | R Documentation |
step3
Description
Computes step 3 of the icss Algorithm.
Usage
step3(e, bb, sig.lev, kmax, alpha)
Arguments
e |
Stationary variable on which the constancy of unconditional variance is tested. |
bb |
The output of step2c, A list with the number of break and the time of the breaks. |
sig.lev |
Significance level. |
kmax |
Maximum lag to be used for the long-run estimation of the fourth order moment of the innovations. |
alpha |
Tail index. |
Details
Used internally by icss.
Value
-
nb: Number of breaks. -
tb: Time of the breaks.
References
C. Inclan & G.C. Tiao (1994): Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance. Journal of the American Statistical Association 89, 913-923.
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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