step2a {micss} | R Documentation |
step2a
Description
Computes step 2a of the icss Algorithm.
Usage
step2a(e, sig.lev, kmax, alpha)
Arguments
e |
Stationary variable on which the constancy of unconditional variance is tested. |
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
-
tb
: Time of the break.
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]