Shifts in variance

It is assumed that all regime shifts in the mean are removed, that is, the values of the time series are deviations from the zero mean. The same two parameters, the target significance level and the cut-off length, control the magnitude of the shifts and the length of the regimes to be detected. The Huber's weight function is not used for the variance and the red noise options are disabled. For more details on regime shift detection in variance see Rodionov (2005).