Following the comments on our earlier submission to PNAS, we have written (and re-arXived) a revised version where we try to spell out (better) the distinction between ABC point (and confidence) estimation and ABC model choice, namely that the problem was at another level for Bayesian model choice (using posterior ... [Read more...]

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Yesterday Alasdair Allan and Pete Warden shocked the world by revealing that iPhones and iPads have been keeping track of our every move, and saving the data in obfuscated back up files. As my friend Vince Buffalo mentioned on Twitter, part of me was disgusted by the secret stalking Steve ... [Read more...]

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I was reading an article from Datamation on 70 Open Source Replacements for Small Business when I noticed a glaring omission.  Where are the software applications for Operations Research and Analytics?  So here is my best addendum to this art... [Read more...]

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A link on R-bloggers signaled a series of blogs and videos by IBM Netezza about Thomas Bayes and the consequences of his theorem. Which made me realise this was indeed the 250th anniversary of his death, and that maybe we (as a collective, incl. ISBA) should have done something on ... [Read more...]

It's great to see new local R user groups popping up around the world, and the latest one is based in Gießen, Germany (about 70km north of Frankfurt). The Giessen R Users Group has its first meeting on May 10 with a discussion on applications of R to social media (... [Read more...]

I can tolerate a lot of things, like the haters on reddit, even a colleague calling me out to be a jerk. But when my wife starts talking to me really fast and using herhands, then I need to rethink my position: Me: “Hey come here and look at these ... [Read more...]

I have been really interested in the "meme" that the Egyptian revolution was "the first social media revolution" and have tolerated infographics that correlate specific twitter activity with events in Egypt beyond. And I ... [Read more...]

Last week I decided to start a weekly column detailing an interesting function each Friday, entirely forgetting that I would be on holiday, without internet access (shock horror!), tomorrow. So here’s your column a little early. The alarm function is something of a novelty, in that all it does ... [Read more...]

I suffer a little from the age-old affliction of contrarianism. If a software package is used by the majority of the population, I assume it is flawed, highly limited, and its continued use will ultimately result in the downfall of the human race. Conversely, I am always extremely interested in ... [Read more...]

I notice that the latest version of R has upped the maximum length of variable names from 256 characters to a whopping 10 000! (See ?name.) It makes the 63 character limit in MATLAB look rather pitiful by comparison. Come on MathWorks! Let’s have the ability to be stupidly verbose in our variable ... [Read more...]

I recently came across a rather interesting investment blog, Timely Portfolio. I have a certain soft spot for that sort of thing, because using my data analysis skills to make a fortune is casually on my to-do list. This blog makes regular use of a function getSymbols in the quantmod ... [Read more...]

What is the effect on predicted and realized volatility of substituting risk fraction constraints for weight constraints? Previously This post depends on two previous blog posts: “Unproxying weight constraints” “Weight compared to risk fraction” The exact same sets of random portfolios are used in this post that were generated in ... [Read more...]

So the web lit up a little today with news that iPhones are collecting time-stamped location data, and in a form that isn’t particularly hard to look at (and even with some nice apps to make animated maps of your travels etc): The database is SQLite, and I used ... [Read more...]

(For a layman’s introduction, see here.) Least Angle Regression (aka LARS) is a model selection method for linear regression (when you’re worried about overfitting or want your model to be easily interpretable). To motivate it, let’s consider some other model selection methods: Forward selection starts with no ... [Read more...]

We left the last post at the point of determining the best ARMA model. Before continuing the discussion, however, I would like to make a few points that might seem a bit questionable or unclear: We model the daily returns instead of the prices. There are multiples reasons: this way ... [Read more...]

I wrote an R script that pulled data from an RSS feed.  The RSS feed updated frequently, so I wanted to be able to schedule the script to run automatically.  After some tinkering, I got it to work by implementing the steps below.  Note t... [Read more...]

assignment in R Today my internship-promotor gave me the assignment to create this chart in R. This means: I get a lot of data and put a certain column on a barchart for each plate. On top of that data, you place 2 errorbars. At first I thought, piece ... [Read more...]