steps1.to.2b: steps1.to.2b

In micss: Modified Iterative Cumulative Sum of Squares Algorithm

steps1.to.2b

Description

Computes steps 1 to 2b of the icss Algorithm.

Usage

steps1.to.2b(e, sig.lev, kmax, alpha)

Arguments

e	Stationary variable on which the constancy of unconditional variance is tested.
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.

• kappa.max: Maximum value of the kappa_test if there is no break.

• p.val: p-value.

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.