version 0.1.5

DESCRIPTION

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+Package: micss
+Type: Package
+Title: Modified Iterative Cumulative Sum of Squares Algorithm
+Version: 0.1.5
+Authors@R: c(person("Josep Lluís", "Carrion-i-Silvestre", role = "aut", email = "carrion@ub.edu"),
+             person("Andreu", "Sansó", role = c("aut","cre"), email = "andreu.sanso@uib.eu"))
+Maintainer: Andreu Sansó <andreu.sanso@uib.eu>
+Description: Companion package of Carrion-i-Silvestre & Sansó (2023): 
+  "Generalized Extreme Value Approximation to the CUMSUMQ Test 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 (2023) <https://www.ub.edu/irea/working_papers/2023/202309.pdf>.
+  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>.
+License: GPL-2
+Depends: R (>= 3.5.0), dplyr
+Imports: methods
+Encoding: UTF-8
+LazyData: true
+RoxygenNote: 7.2.3
+Suggests: testthat (>= 3.0.0)
+Config/testthat/edition: 3
+NeedsCompilation: no
+Packaged: 2023-08-16 08:02:57 UTC; HP
+Author: Josep Lluís Carrion-i-Silvestre [aut],
+  Andreu Sansó [aut, cre]
+Repository: CRAN
+Date/Publication: 2023-08-16 09:52:37 UTC

MD5

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+673b3c8a67541f9617457016aeb20bff *DESCRIPTION
+f130133c57d0b93385b0022593455246 *NAMESPACE
+e5291624e88a504f62fb9e9f84c926c9 *R/micss.R
+4b810a612f766a60b5a289f44ff26509 *data/logReturnsRandDollar.RData
+c726ee64c2d203a8615a66c777926925 *inst/CITATION
+9b0b8e6d099cebe227984ee525b4e660 *man/alpha_hill.Rd
+fc11d54c474da902418b1d1e184e272e *man/alpha_nr.Rd
+688ac003f4c2ec326b5b428be99344e0 *man/cv.kappa.Rd
+03b13b3c7a579b4baaa513e9047ff838 *man/data.Rd
+2c6352de39141240ec16264010fa21ad *man/estimate.alpha.Rd
+935873d3c01a80940d4e57515c311fcd *man/icss.Rd
+98696894d2b5c8f6b523882dc5d098ea *man/kappa_test.Rd
+a9702410ec9867075d6c4a1576bc7f8c *man/logReturnsRandDollar.Rd
+7dc5572478c8ef910c2f2c30d4e355c1 *man/lrv.spc.bartlett.Rd
+22bea798ed69a379da9027d9c034032f *man/micss.Rd
+749ca1ee4fceef5cb510fd41c9274e7e *man/p.val.kappa.Rd
+caa2aee3ca6222538262d0f362744ed0 *man/plot.icss.Rd
+a64c502c9700caae4cb56dc3932340b7 *man/print.icss.Rd
+fa55a70b59b8e0e292650a92e6ed7653 *man/print.micss.Rd
+18886e774722e71f1414c60b80e9fb1a *man/sr_loc.Rd
+11dee8bd683a92f567fc0fbe64f28698 *man/sr_scale.Rd
+99b8f8dcf304f7e245d98341219d3839 *man/sr_shape.Rd
+44132e98a91e87c5359033203cea1eaa *man/step2a.Rd
+1bc79341985f8cffbfa4cda0842936e9 *man/step2b.Rd
+f9e06fd8b077cb7dcfb86b793fb514ee *man/step2c.Rd
+0d2d03d5ebccac67b6f6f661704df1d3 *man/step3.Rd
+b9306edc97eda27940890a8b53b32b62 *man/steps1.to.2b.Rd
+a20ff8871083adf4cef329ed54853759 *man/taula.icss.Rd
+35c380ad2887136b76c2249b502a64cd *man/taula.micss.Rd
+67345034cc26c2febc0b29bdea43efd2 *man/var.est.icss.Rd
+a615e6a4b9c44e8d8200e86b117cf3c0 *man/whitening.Rd
+b1cf4f8c582ff4936415390c175bee57 *tests/testthat.R
+a4c1e7f1356a234f53bcbc215191843f *tests/testthat/test-cv.kappa.R
+13421b126bfb41098dc0a43105e2c5a9 *tests/testthat/test-icss.R
+4d31a10b7e1ef752276ec95461ea4fd4 *tests/testthat/test-kappa_test.R
+51f8a1f861dab11a834e8901be4b7c4a *tests/testthat/test-micss.R
+329c7bcfa99984e5f638f9c6a7ad34a2 *tests/testthat/test-p.val.kappa.R

NAMESPACE

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+importFrom("graphics", "lines")
+importFrom("stats", "coef", "lm", "na.omit", "qnorm", "pnorm", "rnorm",
+                "quantile", "resid", "var")
+importFrom("dplyr","lag")
+importFrom("methods", "is")
+export("alpha_hill")
+export("alpha_nr")
+export("kappa_test")
+export("whitening")
+export("lrv.spc.bartlett")
+export("icss")
+export("micss")
+export("plot.icss")
+export("print.icss")
+export("print.micss")
+