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Matlab implementation of "Iterated Cumulative Sum of Squares for retrospective detection of changes of variance"
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README.md

README.md

ICSS

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, or demo_accelermeter_data for an application of x-axis value of a recorded activity series with a smartphone.

The result, for the paper provided data is: Paper data segmentation

For accelerometer data: Accelerometer data segmentation

For any vector of values, run ICSS(data) to obtain the change points.

Available datasets

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 1 and 5 with mean 0
  • paper: use the dataset as defined in the paper (changepoints at 391 and 518, with variances 1, 0.365 and 1.033)
  • homogeneous: homogeneous dataset with mean 0 and variance 1
  • single: create a single breakpoint at half or the data. Variance goes there from 1 to 2.
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