Package: micss
Type: Package
Title: Modified Iterative Cumulative Sum of Squares Algorithm
Version: 0.3.1
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 (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>.
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: 2026-03-24 17:28:18 UTC; HP
Author: Josep Lluís Carrion-i-Silvestre [aut],
  Andreu Sansó [aut, cre]
Repository: CRAN
Date/Publication: 2026-03-24 17:40:02 UTC
Built: R 4.6.0; ; 2026-04-26 13:59:09 UTC; unix
