Detection of variance changepoints of a time series by Iterated Cumulative Sum of Squares (ICSS) algorithm (Matlab code)
Check Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance for details.
clear
clc
D_star=1.358;
global a;
global cp;
global num_of_cp;
a=randn(700,1);
a(391:517)=a(391:517)*sqrt(0.365);
a(518:700)=a(518:700)*sqrt(1.033);
num_of_cp=0; cp=[];
cpt_var( D_star );