Package: ICSS
Type: Package
Title: ICSS Algorithm by Inclan/Tiao (1994)
Version: 1.1
Date: 2021-04-22
Authors@R: person(given = "Siegfried", family = "Köstlmeier", role = c("aut", "cre", "cph"), email = "siegfried.koestlmeier@gmail.com", comment = c(ORCID = "0000-0002-7221-6981"))
Maintainer: Siegfried Köstlmeier <siegfried.koestlmeier@gmail.com>
Description: 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.
License: GPL-2
Depends: R (>= 3.5.0)
Imports: rstack
Suggests: testthat
Encoding: UTF-8
LazyData: true
NeedsCompilation: no
Packaged: 2021-04-22 13:06:47 UTC; LocalAdmin
Author: Siegfried Köstlmeier [aut, cre, cph]
    (<https://orcid.org/0000-0002-7221-6981>)
Repository: CRAN
Date/Publication: 2021-04-22 14:00:19 UTC
Built: R 4.6.0; ; 2026-04-26 00:57:00 UTC; unix
