micss
Modified Iterative Cumulative Sum of Squares Algorithm
Companion package of Carrion-i-Silvestre & Sansó (2026): "Testing 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 (2026) <doi:10.1080/03610918.2026.2615207>. 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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.3.1 |
rolling linux/jammy R-4.5 | micss_0.3.1.tar.gz |
163.3 KiB |
0.3.1 |
rolling linux/noble R-4.5 | micss_0.3.1.tar.gz |
163.4 KiB |
0.3.1 |
rolling source/ R- | micss_0.3.1.tar.gz |
96.5 KiB |
0.3.1 |
latest linux/jammy R-4.5 | micss_0.3.1.tar.gz |
163.3 KiB |
0.3.1 |
latest linux/noble R-4.5 | micss_0.3.1.tar.gz |
163.4 KiB |
0.3.1 |
latest source/ R- | micss_0.3.1.tar.gz |
96.5 KiB |
0.3.1 |
2026-04-26 source/ R- | micss_0.3.1.tar.gz |
96.5 KiB |
0.3.1 |
2026-04-23 source/ R- | micss_0.3.1.tar.gz |
96.5 KiB |
0.3.1 |
2026-04-09 windows/windows R-4.5 | micss_0.3.1.zip |
166.8 KiB |
0.2.0 |
2025-04-20 source/ R- | micss_0.2.0.tar.gz |
96.4 KiB |