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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:	1.1
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

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