[R] R - Confidence Intervals

[David Winsemius]

On Oct 7, 2010, at 12:01 PM, Christian Goelz wrote:

> Dear Sirs,
>
> I was hoping you can help me, I am quite desperate in finding a
> solution for my problem! I have looked everywhere on the net and tried
> hundreds of codes, but I am still not anywhere close to the solution.
> I am quite new to R, so please excuse if this seems simple:
>
> I am trying to use R to analyse some stocks, but I can't get the
> theoretical confidence interval (95%) for my sample:
>
> e.g. IBM:
>
> library('tseries')
> data<-get.hist.quote(instrument="IBM", start="2000-01-01",
> end="2010-10-04", quote=c("O","H","L","C","A","V"),
> compression='d',provider="yahoo", retclass="zoo")
> names(IBM)

Problem 1: You name your data "data" and now you are referring to it  
by "IBM"
>
> I have defined the parameters as follows:
>
> Pt=IBM$Adj.Close

Problem 2... there is no column named Adj.Close

> r=diff(log(Pt))
> l=length(Pt)
> mu=mean(r)
> t=2:l
>
> Given the formula for confidence intervals E(logPt)=logP0+μ*t
> +1.96*sqrt(t)*s^2, I tried to define a formula in R:
>
>  logP1=numeric()
>> logP1[1]=log(Pt[1])
>> logP1[2:l]=logP1[1]+cumsum(logP1+mu*t+c(-1.96,1.96)*sqrt(t)*sd(Pt))

Is it really true that s^2 is well estimated by that cusum?

>> P1=exp(logP1)

I ask that because P1 (after correction of the errors noted above)  
"blows up" , i.e. increases to "Inf".
>
> However, although I don't receive an error message, I cannot show the
> result!

Did you type:

P1   # ??? and then watch the stream of 2075 mostly Inf values?

Really? I got all sorts of cascading errors.
-- 
David.


>
> Many thanks in advance for your assistance with this!
>
> Yours sincerely
>
> Christian


-- 
David Winsemius, MD
West Hartford, CT