kappa_test

Computes the CUMSUMQ test to test for changes in the unconditional variance and reports the p-value adapted to the tail index and sample size

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>.

Andreu Sansó

micss

Modified Iterative Cumulative Sum of Squares Algorithm

Josep Lluís Carrion-i-Silvestre

kappa_test function

<dl> <dt>e</dt>
<dd>A numeric vector. Stationary variable on which the constancy of unconditional variance is tested.</dd> <dt>sig.lev</dt>
<dd>Significance level. The default value is 0.05.</dd> <dt>alpha</dt>
<dd>Tail index. Must be a number between 2 and 4. The default value is 4.</dd> <dt>kmax</dt>
<dd>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.</dd></dl>

Arguments

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

Author

CUMSUMQ test to test for changes in the unconditional variance — kappa_test

<dl>

 <dt>e</dt>
<dd>A numeric vector. Stationary variable on which the constancy of unconditional variance is tested.</dd>

 <dt>sig.lev</dt>
<dd>Significance level. The default value is 0.05.</dd>

 <dt>alpha</dt>
<dd>Tail index. Must be a number between 2 and 4. The default value is 4.</dd>

 <dt>kmax</dt>
<dd>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.</dd>

</dl>

kappa_test: CUMSUMQ test to test for changes in the unconditional variance

Description

Usage

Value

Arguments

Author

Details

References

See Also

Examples