Matlab implementation of the ICSS algorithm of Inclan and Tiao ("Use of cumulative sums of squares for retrospective detection of changes of variance").
How does it work?
Load to the
matlab directory and run
demo_accelermeter_data for an application of x-axis value of a recorded activity series with a smartphone.
For any vector of values, run
ICSS(data) to obtain the change points.
There are a couple of predefined datasets availble.
These can be generated using
data = ProvideDataBatch(size, type).
The types are:
- alternating: Generate alternating variances of
- paper: use the dataset as defined in the paper (changepoints at
518, with variances
- homogeneous: homogeneous dataset with mean 0 and variance 1
- single: create a single breakpoint at half or the data. Variance goes there from