ICSS Algorithm by Inclan/Tiao (1994)
Description
The Iterative Cumulative Sum of Squares (ICSS) algorithm by Inclan/Tiao (1994) 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.