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.


Reference manual

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1.1 by Siegfried Köstlmeier, 7 months ago

Browse source code at https://github.com/cran/ICSS

Authors: Siegfried Köstlmeier [aut, cre, cph]

Documentation:   PDF Manual  

GPL-2 license

Imports rstack

Suggests testthat

See at CRAN