yt {CEoptim}R Documentation

Simulated cumulative data from an AR(1) model with regime switching

Description

yt represents the added value of a stock at time t, at day t=1,2,...,300; that is, the increase (which may be negative) in stock price relative to the price at time t=0.

Usage

data(yt)

Format

Numeric vector of length 300

References

Benham T., Duan Q., Kroese D.P., Liquet B. (2017) CEoptim: Cross-Entropy R package for optimization. Journal of Statistical Software, 76(8), 1-29.

Examples

## Plot the yt data
data(yt)
plot(yt,type="l",col="blue")

[Package CEoptim version 1.2 Index]