cv.kappa {micss}R Documentation

Critical Values

Description

Computes critical values for the kappa_test statistic

Usage

cv.kappa(t, alpha, sig.lev)

Arguments

t

Sample size.

alpha

Value of the tail index between 2 and 4.

sig.lev

Significance level.

Value

Critical value.

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.

See Also

p.val.kappa


[Package micss version 0.2.0 Index]