DWJ {sde} | R Documentation |
This data set contains the weekly closings of the Dow-Jones industrial average in the period July 1971 - Aug 1974. These data have been proposed by Hsu (1977, 1979) and used by many other authors 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)