step3 {micss}R Documentation

step3

Description

Computes step 3 of the icss Algorithm.

Usage

step3(e, bb, sig.lev, kmax, alpha)

Arguments

e

Stationary variable on which the constancy of unconditional variance is tested.

bb

The output of step2c, A list with the number of break and the time of the breaks.

sig.lev

Significance level.

kmax

Maximum lag to be used for the long-run estimation of the fourth order moment of the innovations.

alpha

Tail index.

Details

Used internally by icss.

Value

References

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.


[Package micss version 0.2.0 Index]