Advances in biotechnology have resulted in large-scale studies of DNA methylation. A differentially methylated region (DMR) is a genomic region with multiple adjacent CpG sites that exhibit different methylation statuses among multiple samples. Many so-called "supervised" methods have been established to identify DMRs between two or more comparison groups. Methods for the identification of DMRs without reference to phenotypic information are, however, less well studied. An alternative "unsupervised" approach was proposed, in which DMRs in studied samples were identified with consideration of nature dependence structure of methylation measurements between neighboring probes from tiling arrays. Through simulation study, we investigated effects of dependencies between neighboring probes on determining DMRs where a lot of spurious signals would be produced if the methylation data were analyzed independently of the probe. In contrast, our newly proposed method could successfully correct for this effect with a well-controlled false positive rate and a comparable sensitivity. By applying to two real datasets, we demonstrated that our method could provide a global picture of methylation variation in studied samples. R source codes to implement the proposed method were freely available at http://www.csjfann.ibms.sinica.edu.tw/eag/programlist/ICDMR/ICDMR.html.