inst/book/ex4.07.R

In sde: Simulation and Inference for Stochastic Differential Equations

require(sde)
# ex4.07.R
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)

# ex4.07.R (cont)
cp <- cpoint(window(ret,end=cp$tau0))
cp
abline(v=cp$tau0,lty=3)