DWJ | R Documentation |
This dataset contains the weekly closings of the Dow-Jones industrial average in the period July 1971–August 1974. These data were proposed to test change-point estimators. There are 162 data, and the main evidence found by several authors is that a change in the variance occurred around the third week of March 1973.
data(DWJ)
Hsu, D.A. (1977) Tests for variance shift at an unknown time point, Appl. Statist., 26(3), 279-284.
Hsu, D.A. (1979) Detecting shifts of parameter in gamma sequences with applications to stock price and air traffic flow analysis, Journal American Stat. Ass., 74(365), 31-40.
data(DWJ) ret <- diff(DWJ)/DWJ[-length(DWJ)] par(mfrow=c(2,1)) par(mar=c(3,3,2,1)) plot(DWJ,main="Dow-Jones closings",ylab="",type="p") plot(ret,main="Dow-Jones returns",ylab="",type="p") cp <- cpoint(ret) cp abline(v=cp$tau0,lty=3) cp <- cpoint(window(ret,end=cp$tau0)) cp abline(v=cp$tau0,lty=3)
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