Monthly Archives: January 2012

Baltimore gun offenders and where academics don’t live

January 3, 2012
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Baltimore gun offenders and where academics don’t live

Jeff recently posted links to data from cities and states. He and I wrote R code that plots gun offender locations for Baltimore. Specifically we plot the locations that appear on this table. I added locations of the Baltimore neighborhoods where most ...

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2012, Turing year

January 3, 2012
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2012, Turing year

Buying the special issue of La Recherche on “La révolution des mathématiques”, I discovered that this is the Alan Turing Year in celebration of the 100th anniversary of Turing‘s birth. The math department at the University of Leeds has a webpage on all the events connected with this celebration. From all over the World. (There

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Were markets exceptionally volatile in 2011?

January 2, 2012
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Were markets exceptionally volatile in 2011?

2011 was a volatile year, no doubt about that, but was it exceptionally so from a historic point of view? To quantify the volatility, I used the Dow Jones Industrial average, which goes back to 1928 on Yahoo Finance: A volatile year no doubt, but once again confirming the fact that, in markets behaviour at

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Introduction to Conditional Random Fields

January 2, 2012
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Introduction to Conditional Random Fields

Imagine you have a sequence of snapshots from a day in Justin Bieber’s life, and you want to label each image with the activity it represents (eating, sleeping, driving, etc.). How can you do this? One way is to ignore the sequential nature of the snapshots, and build a per-image classifier. For example, given a month’s worth of...

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Lesson 1: Overview of R Language & CloudStat School

January 2, 2012
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Lesson 1: Overview of R Language & CloudStat School

This is the first lesson of CloudStat School, Lesson 1: Overview of R Language & CloudStat School. The objective of this lesson is introducing R Language and how you can be a R programmer or a data analyst through CloudStat School. At the end of this l...

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Voting Networks in the Danish Parliament

January 2, 2012
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Voting Networks in the Danish Parliament

One of my Christmas presents was the book Beautiful Visualization. Chapter 8 by Andrew Odewahn is a very nice piece on visualizing the U.S Senate social graph. Odewahn basically builds an affinity network, where ties represent whether two senator have ...

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R resources

January 2, 2012
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Earlier we spoke about PITCHfx resources, and now we will learn about R resources. Well, what is R? Straight from wikipedia:R is a programming language and software environment for statistical computing and graphics. The R lang...

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Monetary Policy & Credit Easing pt. 8: Econometrics Tests in R

January 2, 2012
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Hello, folks its time to cover some important econometrics tests you can do in R.The Akaike information criterion is a measure of the relative goodness of fit of a statistical model.  If you have 10 models and order them by AIC, the...

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Example

January 2, 2012
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Example

Here is a little example of what I do. While learning R isn't easy, it can be very powerful and efficient once you get your feet wet. I intend for this example to whet  your appetite. This should take you less than 20 minutes. By the end, you will...

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Portfolio Optimization in R, Part 4 Redeux

January 2, 2012
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Portfolio Optimization in R, Part 4 Redeux

So where did we mess up?  In the calculation of returns for the market cap weighted portfolio and the portfolio optimization portfolio, we simply took the starting weights (W0) and multiplied them by the relevant series of returns.resEqual = as.matrix(returns) %*% t(ret)andsubRes = as.matrix(subRes) %*% t(ret)To correct this, we have 2 options. Recalculate the weight at each time point assuming a starting weight. ...

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