Monthly Archives: December 2010

Michael Kane on Bigmemory

December 20, 2010
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Michael Kane on Bigmemory

Handling big data sets has always been a concern for R users. Once the size of the data set reaches above 50% of RAM, it is considered “massive” and can literally become impossible to work with on a standard machine. The bigmemory project, by Michael Kane and Jay Emerson, is one approach to dealing with

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Rcpp 0.9.0 and RcppClassic 0.9.0

December 20, 2010
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A new release 0.9.0 of Rcpp is now available at CRAN and has just been uploaded to Debian. As always, sources are also available from my local directory here.With this release, the older API which we have been referring to as the classic Rcpp A...

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MATLAB / R Reference

December 20, 2010
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Anyone with a MATLAB background interested in transitioning to R is advised to check out this MATLAB / R Reference by Professor David Hiebeler of the University of Maine.

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Google Insights and RCurl

December 20, 2010
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Google Insights is nifty. If you’re logged in to your Google account, you can download the results as a CSV file. This is straightforward if you’re using a browser; if you’re trying to retrieve the results of queries using R, however, things get more complicated.The following code retrieves the results of a Google Insights search for...

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How to buy a used car with R (part 2)

December 20, 2010
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How to buy a used car with R (part 2)

Continued from Part 1.Part 2: Digging into the Kelley Blue BookThe only thing better than a bit of data is a lot of data. Now that we can grab KBB values for a given trim of a given model in a given year, we set our ambitions higher: automating the collection of these values for...

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Vim plugin for R

December 19, 2010
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Vim plugin for R

Just found a very nice plugin for using R in Vim. It's unbelievable comfortable!

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Principal component analysis to yield curve change

December 19, 2010
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Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

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Principal component analysis to yield curve change

December 19, 2010
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Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

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White Bumblebee Implemented in R

December 18, 2010
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White Bumblebee Implemented in R

White Bumblebee is a trade system based on a simple moving average crossover, but with a special twist. Imagine your thermostat triggering your furnace to shut off or turn on every time a temperature crossed a threshold. If the thermostat didn't have a...

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AMIS revised & resubmitted

December 18, 2010
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AMIS revised & resubmitted

After a thorough revision that removed most of the theoretical attempts at improving our understanding of AMIS convergence, we have now resubmitted the AMIS paper to Scandinavian Journal of Statistics and arXived the new version as well. (I remind the reader that AMIS stands for adaptive mixture importance sampling and that it implements an adaptive

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