| Name : R-micss
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| Version : 0.2.0
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp156.1.1
| Date : 2024-09-10 03:42:08
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| Group : Development/Libraries/Other
| Source RPM : R-micss-0.2.0-lp156.1.1.src.rpm
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| Size : 0.17 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : Modified Iterative Cumulative Sum of Squares Algorithm
|
Description :
Companion package of Carrion-i-Silvestre & Sansó (2023): \"Generalized
Extreme Value Approximation to the CUMSUMQ Test for Constant
Unconditional Variance in Heavy-Tailed Time Series\". It implements the
Modified Iterative Cumulative Sum of Squares Algorithm, which is an
extension of the Iterative Cumulative Sum of Squares (ICSS) Algorithm
of Inclan and Tiao (1994), and it checks for changes in the
unconditional variance of a time series controlling for the tail index
of the underlying distribution. The fourth order moment is estimated
non-parametrically to avoid the size problems when the innovations are
non-Gaussian (see, Sansó et al., 2004). Critical values and p-values
are generated using a Generalized Extreme Value distribution approach.
References Carrion-i-Silvestre J.J & Sansó A (2023)
< https://www.ub.edu/irea/working_papers/2023/202309.pdf>. Inclan C &
Tiao G.C (1994) < doi:10.1080/01621459.1994.10476824>, Sansó A & Aragó V
& Carrion-i-Silvestre J.L (2004)
< https://dspace.uib.es/xmlui/bitstream/handle/11201/152078/524035.pdf>.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.6/x86_64 |
