This one's for the musicians out there. (By the way, in my purely anecdotal experience, musical aptitude appears to have a higher-then-expected representation amongst stats folks. I however am the exception that proves the rule, as anyone who's suffered through my Rock Band vocals can attest. But I digress.) What do the chords C#minor, A, E and B have...
Monthly Archives: April 2010
R/Finance 2010 … and unicorns
At the Information Management blogs, Steve Miller has posted a great roundup of last weekend's R/Finance 2010 conference in Chicago. Here's Steve's overall take: This year's conference was even better than the 2009 inaugural, the in-excess-of-200 participants consumed by more than 20 consecutive high-powered presentations over the fast-paced day and a half. And while I'm a quantitative finance welterweight...
R 2.11.0 just landed…
The new version is here. R version 2.11.0 has been released on 2010-04-22. The source code is first available in this directory, and eventually via all of CRAN. Binaries will arrive in due course (see download instructions above).
Top 10 Algorithms in Data Mining
The authors here invited ACM KDD Innovation Award and IEEE ICDM Research Contributions Award winners to each nominate up to 10 best-known algorithms in data mining, including the algorithm name, justification for nomination, and a representative public...
Trouble with ESS and Sweave
Last time I tried to sweave a document from with Emacs+ESS, I was using an earlier version of ESS (the current version is 5.8), and things seemed to be fine. Today when I tried to sweave a simple document and produced PDF output, I got error message of...
Simple Linear Regression
One of the most frequent used techniques in statistics is linear regression where we investigate the potential relationship between a variable of interest (often called the response variable but there are many other names in use) and a set of one of more variables (known as the independent variables or some other term). Unsurprisingly there
Fun with the Vasicek Interest Rate Model
dt+%5Cbeta%20dW_t%5E%5Cmathbb%7BQ%7D&bg=ffffff&%23038;fg=000000&%23038;s=0)
A common model used in the financial industry for modelling the short rate (think overnight rate, but actually an infinitesimally short amount of time) is the Vasicek model. Although it is unlikely to perfectly fit the yield curve, it has some nice properties that make it a good model to work with. The
The Bernoulli factory
A few months ago, Latuszyński, Kosmidis, Papaspiliopoulos and Roberts arXived a paper I should have noticed earlier as its topic is very much related to our paper with Randal Douc on the vanilla Rao-Blackwellisation scheme. It is motivated by the Bernoulli factory problem, which aims at (unbiasedly) estimating f(p) from an iid sequence of Bernoulli 
New R User Group in San Diego
There's a new local R User Group in San Diego (CA, USA), and they're meeting tonight. If you're in the area, why not RSVP and come along? The topic looks great: Our speaker, Scott Wallihan, will be covering how to expand R's functionality through custom packages. This topic will be covered over two meetings. In our April meeting, we...
R 2.11.0 released
The latest version of R from the R Project, R 2.11.0, is now available in source code form. Binaries for Windows, Mac and Linux will appear in your local CRAN mirror in the next few days. Some new features include: Support for rendering bitmap images in graphics devices, via a new function rasterImage() The new function vapply is like...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
