R: Weekly closings of the Dow-Jones industrial average
DWJ
R Documentation
Weekly closings of the Dow-Jones industrial average
Description
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.
Usage
data(DWJ)
References
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.