Modified Iterative Cumulative Sum of Squares Algorithm
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Documentation for package ‘micss’ version 0.2.0
Help Pages
| alpha_hill | Hill's estimator of the tail index |
| alpha_nr | Nicolau & Rodrigues estimator of the tail index |
| data | Data used in the examples |
| icss | Iterative Cumulative Sum of Squares Algorithm |
| kappa_test | CUMSUMQ test to test for changes in the unconditional variance |
| logReturnsRandDollar | Data used in the examples |
| lrv.spc.bartlett | lrv.spc.bartlett |
| micss | Modiffied Iterative Cumulative Sum of Squares Algorithm |
| plot.icss | plot.icss |
| print.icss | print.icss |
| print.micss | print.micss |
| whitening | Whitening |