ICSS: ICSS Algorithm by Inclan/Tiao (1994)
The Iterative Cumulative Sum of Squares (ICSS) algorithm by Inclan/Tiao (1994) <https://www.jstor.org/stable/2290916> detects multiple change points, i.e. structural break points, in the variance of a sequence of independent observations. For series of moderate size (i.e. 200 observations and beyond), the ICSS algorithm offers results comparable to those obtained by a Bayesian approach or by likelihood ration tests, without the heavy computational burden required by these approaches.
| Version: |
1.1 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
rstack |
| Suggests: |
testthat |
| Published: |
2021-04-22 |
| Author: |
Siegfried Köstlmeier
 [aut, cre,
cph] |
| Maintainer: |
Siegfried Köstlmeier <siegfried.koestlmeier at gmail.com> |
| License: |
GPL-2 |
| NeedsCompilation: |
no |
| CRAN checks: |
ICSS results |
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