# Monthly Archives: December 2010

## Book Review: R in a Nutshell

December 29, 2010
By

A brief review of R in a Nutshell by Joseph Adler. This book continues to serve as a useful reference that sits on my desk next to my computer, waiting to tell me the name of that command I've just forgotten.

## Converting a String to a Variable Name On-The-Fly and Vice-versa in R

December 28, 2010
By

Recently, I had a professor ask me how to take a string and convert it to an R variable name on-the-fly. One possible way is: x <- 42 eval(parse(text = "x")) [1] 42 Now, suppose we want to go the other way. The trick is just as simple: x <- 42 deparse(substitute(x)) [1] "x"

## Generating stress scenarios: null correlation is not enough

December 28, 2010
By

In a recent post (here, by @teramonagi), Teramonagi mentioned the use of PCA to model yield curve, i.e. to obtain the three factor, "parallel shift", "twist" and "butterfly". As in Nelson & Siegel, if m is maturity, is the yield of the cu...

## nlm [unused argument(s) (iter = 1)]

December 28, 2010
By

Ashley put the following comment on Chapter 5 of Introducing Monte Carlo Methods with R”: I am reading chapter 5. I try to reproduced the result on page 128. The R codes don’t work on my laptop. When I try to run the following codes on page 128 > for (i in 1:(nlm(like,sta)\$it)){ + mmu=rbind(mmu,nlm(like,sta,iter=i)\$est)}

## Travel grants and prizes for R/Finance 2011

December 28, 2010
By

If you've been thinking about heading to Chicago in April for the R/Finance conference, here's another reason to go: posting for the committee, Dirk Eddelbuettel announced last week that thanks to a favourable response from sponsors, the conference organizers can now offer: a competition for best paper, which given the focus of the conference will award for both an...

## Automatic Simulation Queueing in R

December 28, 2010
By

I spend much of my time writing R code for simulations to compare the supervised classification methods that I have developed with similar classifiers from the literature.  A large challenge is to determine which datasets (whether artificial/simulated or real) are interesting comparisons.  Even if we restricted ourselves to multivariate Gaussian data, there are a large

## Tools to tidy up R code

December 28, 2010
By

Last week we made an impassioned plea for attention to style in formatting R and SAS code.While it's always better to adopt a consistent style and use it whenever you write code, the reality is that sometimes formatting slips (or you end up repurposing...

## High readings of VIX index during 2 days

December 28, 2010
By

During last two sessions (December 23th and 27th), VIX index posted returns (close to close) above 6 %. My question is – what return can we expect next day after such event? As you can see from the graph above, expected return is positive. During 1995-2010 were 53 such events and mean return was 1.02 %

## Phylogenetic meta-analysis in R using Phylometa

December 28, 2010
By

Here is some code to run Phylometa from R. Phylometa is a program that conducts phylogenetic meta-analyses. The great advantage of the approach below is that you can easily run Phylometa from R, and manipulate the output from Phylometa in R. Phylometa ...

## Poster at MCMSki III

December 28, 2010
By

Here is the poster presented at MCMSki III next week by Pierre Jacob about our joint paper on parallelisation: Filed under: R, Statistics, Travel Tagged: Adapski, MCMC, MCMSki, Metropolis-Hastings, Monte Carlo Statistical Methods, parallelisation, pos...