plot.icss

Plots the output of the ICSS algorithm.

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

plot.icss function

<dl><dt>x</dt>
<dd>An object with the output of icss or micss.</dd>
<dt>type</dt>
<dd>Type of graphic. 3 possibilities: "std", which is the default,
plots the absolute value of the variable and the standard deviation; "var"
plots the squares of the variable and the variance; "res.std" plots
the standardized residuals.</dd>
<dt>title</dt>
<dd>Title of the graphic.</dd>
<dt>...</dt>
<dd>Further arguments passed to or from other methods.</dd></dl>

Arguments

plot.icss — plot.icss

<dl>

<dt>x</dt>
<dd>An object with the output of icss or micss.</dd>


<dt>type</dt>
<dd>Type of graphic. 3 possibilities: "std", which is the default,
plots the absolute value of the variable and the standard deviation; "var"
plots the squares of the variable and the variance; "res.std" plots
the standardized residuals.</dd>


<dt>title</dt>
<dd>Title of the graphic.</dd>


<dt>...</dt>
<dd>Further arguments passed to or from other methods.</dd>

</dl>

plot.icss: plot.icss

Description

Usage

Value

Arguments

Examples