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.

Getting started

Package details

AuthorSiegfried Köstlmeier [aut, cre, cph] (<https://orcid.org/0000-0002-7221-6981>)
MaintainerSiegfried Köstlmeier <siegfried.koestlmeier@gmail.com>
Package repositoryView on CRAN
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ICSS documentation built on April 22, 2021, 5:10 p.m.