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Detection of variance changepoints of a time series by Iterated Cumulative Sum of Squares (ICSS) algorithm (Matlab code)

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ICSS

Detection of variance changepoints of a time series by Iterated Cumulative Sum of Squares (ICSS) algorithm (Matlab code)

Description

Check Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance for details.

Example

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 );

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Detection of variance changepoints of a time series by Iterated Cumulative Sum of Squares (ICSS) algorithm (Matlab code)

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