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.

Version: 1.0
Depends: R (≥ 3.5.0)
Imports: rstack
Suggests: testthat
Published: 2020-06-02
Author: Siegfried Köstlmeier ORCID iD [aut, cre, cph]
Maintainer: Siegfried Köstlmeier <siegfried.koestlmeier at gmail.com>
License: GPL-2
NeedsCompilation: no
CRAN checks: ICSS results


Reference manual: ICSS.pdf
Package source: ICSS_1.0.tar.gz
Windows binaries: r-devel: ICSS_1.0.zip, r-release: ICSS_1.0.zip, r-oldrel: ICSS_1.0.zip
macOS binaries: r-release: ICSS_1.0.tgz, r-oldrel: ICSS_1.0.tgz


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