[aut, cre,
cph]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
[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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