micss (version 0.2.0)

icss: Iterative Cumulative Sum of Squares Algorithm

Description

Implements the ICSS algorithm of Inclan and Tiao (1994) using the CUMSUMQ test detailed in Carrion-i-Silvestre & Sansó (2023)

Usage

icss(e,sig.lev=0.05,kmax=NULL,alpha=NULL)

Value

nb

Number of breaks found by the algorithm.

tb

Vector with the time breaks.

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 set at 4, which was the implicit assumption of Inclan & Tiao (1994). Values between 2 and 4 are allowed because this function is used by micss.

Author

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

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.

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.

See Also

micss print.icss plot.icss

Examples

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