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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 ORCID iD [aut, cre, cph]
Maintainer: Siegfried Köstlmeier <siegfried.koestlmeier at gmail.com>
License: GPL-2
NeedsCompilation: no
CRAN checks: ICSS results

Documentation:

Reference manual: ICSS.pdf

Downloads:

Package source: ICSS_1.1.tar.gz
Windows binaries: r-devel: ICSS_1.1.zip, r-release: ICSS_1.1.zip, r-oldrel: ICSS_1.1.zip
macOS binaries: r-release (arm64): ICSS_1.1.tgz, r-oldrel (arm64): ICSS_1.1.tgz, r-release (x86_64): ICSS_1.1.tgz, r-oldrel (x86_64): ICSS_1.1.tgz
Old sources: ICSS archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=ICSS to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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