Monthly Archives: September 2011

The Long Tail of the Pareto Distribution

The Long Tail of the Pareto Distribution

In my last two posts, I have discussed cases where the mean is of little or no use as a data characterization.  One of the specific examples I discussed last time was the case of the Pareto type I distribution, for which the density is given by:                        p(x) = aka/xa+1defined for all x > k, where k and a...

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littler 0.1.5

September 17, 2011
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Brown-bag release time for littler. One of the minor cleanups in the 0.1.4 release from Thursday actually introduced a nasty little bug as you can't call Rf_KillAllDevices() when you do not have any graphics device. Doh. So with apologies for the l...

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UK R Courses – 2012

September 17, 2011
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UK R Courses – 2012

The School of Mathematics & Statistics at Newcastle University (UK), are again running some R courses. In January, 2012, we will run: January 16th: Introduction to R; January 17th: Programming with R; January 18th & 19th: Advanced graphics with R. The courses aren’t aimed at teaching statistics, rather they aim to go through the fundemental

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Introduction to Beamer

September 17, 2011
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Introduction to Beamer

A friend of mine, who is quite smart by the way (she is a PhD. student in Physics at Cambridge), recently asked me for some help with Beamer. Well most of my knowledge and code came from Utkarsh when I had started about a year ago. Initially, I ha...

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Elements of Bayesian Econometrics

September 16, 2011
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Elements of Bayesian Econometrics

 posterior = (likelihood x prior) / integrated likelihoodThe combination of a prior distribution and a likelihood function is utilized to produce a posterior distribution.  Incorporating information from both the prior distribution and the likelihood function leads to a reduction in variance and an improved estimator. As n→...

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ifelse function in R only returns the first element

September 16, 2011
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If you also favor to use the function, be aware of the returned value. For example:> ifelse(1>0, 3, 4) 3> ifelse(1>0, c(2, 3), c(4, 5)) # only the first element returned. 2 > ifelse(c(1:10)>5, 'on', 'off') "off" "off...

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R in the insurance industry

September 16, 2011
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R in the insurance industry

Let's talk about R in the insurance industry today.  David Smith's blog entry reminded me about our poster at the R user conference in Warwick in August 2011:Using R in InsuranceWe presented examples on how R can be used in the insu...

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How to extract time series from large timestamped logs with R

September 16, 2011
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Revolution Analytics' Joe Rickert has a new post on inside-R.org, demonstrating how you can use R and the RevoScaleR package to extract time series data from time-stamped logs (in this case, the "US Domestic Flights From 1990 to 2009" dataset on Infochimps): Analyzing time series data of all sorts is a fundamental business analytics task to which the R...

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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

September 16, 2011
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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In my last post, I demonstrated how to backtest a simple momentum-based stock trading strategy ...

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Beta and expected returns

September 16, 2011
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Beta and expected returns

Some pictures to explore the reality of the theory that stocks with higher beta should have higher expected returns. Figure 2 of “The effect of beta equal 1″ shows the return-beta relationship as downward sloping.  That’s a sample of size 1.  In this post we add six more datapoints. Data The exact same betas of … Continue reading...

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