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.
||R (≥ 3.5.0)
||Siegfried Köstlmeier <siegfried.koestlmeier at gmail.com>
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