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.


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Reference manual

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install.packages("ICSS")

1.0 by Siegfried Köstlmeier, 5 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