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 DOI: 10.32614/CRAN.package.ICSS Author: Siegfried Köstlmeier [aut, cre, cph] Maintainer: Siegfried Köstlmeier <siegfried.koestlmeier at gmail.com> License: GPL-2 NeedsCompilation: no CRAN checks: ICSS results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=ICSS to link to this page.
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