ICSS: Iterative Cumulative Sum of Squares (ICSS)

In ICSS: ICSS Algorithm by Inclan/Tiao (1994)

Description

ICSS implements the Iterative Cumulative Sum of Squares (ICSS) algorithm by Inclan/Tiao (1994).

The test detects structural breakpoints in the variance of time series data.

Usage

ICSS(data, demean = FALSE)

Arguments

data	A numerical vector
demean	An object of class "logical": If demean is TRUE, all data will get demeaned prior to the ICSS algorithm.

Value

ICSS returns a numerical vector containing the location of structural breakpoints or NA if none breakpoints are found.

References

Inclan, C., & Tiao, G. C. (1994): Use of cumulative sums of squares for retrospective detection of changes of variance. Journal of the American Statistical Association, 89(427), 913-923. https://www.jstor.org/stable/2290916.

Examples

## load demo data
data(data)
breakpoints <- ICSS(data)

ICSS documentation built on April 22, 2021, 5:10 p.m.