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log10
2010 Oct 07
1
R - Confidence Intervals
...uot;,"C","A","V"),
compression='d',provider="yahoo", retclass="zoo")
names(IBM)
I have defined the parameters as follows:
Pt=IBM$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))
> P1=exp(logP1)
However, although I don't receive an error message, I cannot show the
result!
Many thanks in a...