sr_loc {micss} | R Documentation |
sr_loc
Description
Computes the location parameter for the GEV approximation to the distribution of kappa_test statistic
Usage
sr_loc(t, alpha, lmax = NULL)
Arguments
t |
Sample size |
alpha |
Value of the tail index between 2 and 4 |
lmax |
Maximum lag to be used for the long-run estimation of the fourth order moment of the innovations. If not specified it is generated automatically depending on the sample size. |
Details
used internally by cv.kappa and p.val.kappa
Value
Location parameter
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.
[Package micss version 0.2.0 Index]