ICSS

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.

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