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Starting with the EuStockMarket data, use differencing to remove the trend from each of the four time series

Statistics

Starting with the EuStockMarket data, use differencing to remove the trend from each of the four time series. Plot the results as shown in this chapter. Then use cpt.var() from the changepoint package to detect the one point in each series where there is a substantial change in the variance of the time series. Contrast these results with the results of cpt.mean() as reported in the chapter. Describe in your own words what happened before and after the change point detected by cpt.var().

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