Case Study 2: Financial Data Analysis
In this chapter, we show the application of change point technique to the weekly prices of two stocks from the New York Stock Exchange; namely, Exxon and General Dynamics. The information theoretic approach described in chapter 7 is used to estimate the number of change points as well as their locations. Model selection methodology, using Schwarz Information Criterion, is promulgated to solve the difficult problem of change point analysis.
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