SP500

<p>This dataset contains the quantised daily changes  in the Standard &amp; Poor&lt;U+2019&gt;s index price, 
from January 2, 1928 until October 7, 2016. The price changes are quantised to 7 values as follows: 
If the change between two successive trading days (i  1) and i is smaller than 
,  is set equal to 0; if the change is between  and , 
; for 
changes in the intervals (, ], (, 1], 
(1, 2], and (2, 3]
 is set 
equal to 2,3,4 and 5, respectively; and for changes greater than 3,  = 6.</p>

datasets

An implementation of a collection of tools for exact Bayesian inference with discrete times series. This package contains functions that can be used for prediction, model selection, estimation, segmentation/change-point detection and other statistical tasks. Specifically, the functions provided can be used for the exact computation of the prior predictive likelihood of the data, for the identification of the a posteriori most likely (MAP) variable-memory Markov models, for calculating the exact posterior probabilities and the AIC and BIC scores of these models, for prediction with respect to log-loss and 0-1 loss and segmentation/change-point detection. Example data sets from finance, genetics, animal communication and meteorology are also provided. Detailed descriptions of the underlying theory and algorithms can be found in [Kontoyiannis et al. 'Bayesian Context Trees: Modelling and exact inference for discrete time series.' Journal of the Royal Statistical Society: Series B (Statistical Methodology), April 2022. Available at: <arXiv:2007.14900> [stat.ME], July 2020] and [Lungu et al. 'Change-point Detection and Segmentation of Discrete Data using Bayesian Context Trees' <arXiv:2203.04341> [stat.ME], March 2022].

SP500: Daily changes in the S&P 500 index

Description

Usage

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References

Examples