DJIA

The weekly log returns for the Dow Jones Industrial Average index from April 1990 to January 2012.

datasets

Implements various procedures for finding
multiple change-points from Matteson D. et al (2013)
<doi:10.1080/01621459.2013.849605>, Zhang W. et al (2017)
<doi:10.1109/ICDMW.2017.44>, Arlot S. et al (2019).
Two methods make use of dynamic
programming and pruning, with no distributional
assumptions other than the existence of certain absolute
moments in one method. Hierarchical and exact search methods
are included. All methods return the set of estimated change-
points as well as other summary information.

Wenyu Zhang

Non-Parametric Multiple Change-Point Analysis of Multivariate
Data

DJIA function

A list with the following components. 
dates: A character vector of dates associated with each observation in the returns series. 
index: Weekly log returns from April 1990 to January 2012 of the DOW 30 index.
market: Weekly log returns from April 1990 to January 2012, for the companies in the DOW 30 apart from Kraft.

DJIA: Dow Jones Industrial Average Index

Description

Usage

Arguments

Format

References

Examples