Monthly Archives: January 2012

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 andthe portfolio optimization portfolio, we simply took the starting weights (W0)and multiplied them by the relevant series of returns.resEqual = as.matri...

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Plotting earthquake data

January 2, 2012
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Plotting earthquake data

Since 4th September 2010 we have had over 2,800 quakes (considering only magnitude 3+) in Christchurch. Quakes come in swarms, with one or few strong shocks, followed by numerous smaller ones and then the ocasional shock, creating an interesting data … Continue reading →

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Market predictions for years 2011 and 2012

January 2, 2012
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Market predictions for years 2011 and 2012

A review of market predictions and results for 2011, and a calibration for 2012 predictions (of 19 equity indices plus oil). Previously One year ago the post “Revised market prediction distributions” presented plots showing the variability of various markets assuming no market-moving forces. The follow-up post “Some market predictions enhanced some of those plots with … Continue reading...

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CloudStat School – The Introduction

January 1, 2012
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CloudStat School is a not yet released open source project. The objective is to create an interactive R Learning Platform. The best way to learn R programming is doing while learning. In CloudStat School, you will see a console box at your top left han...

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Reproducible Research with R: Cost of energy and mutual shadows in a two-axis tracking PV system

January 1, 2012
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Reproducible Research with R: Cost of energy and mutual shadows in a two-axis tracking PV system

  Some days ago the journal Renewable Energy published my last paper “Cost of energy and mutual shadows in a …Continuar leyendo »

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Decoding a Substitution Cipher using Simulated Annealing

January 1, 2012
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Decoding a Substitution Cipher using Simulated Annealing

My last post discussed a method to decode a substitution cipher using a Metropolis-Hastings algorithm. It was brought to my attention that this code could be improved by using Simulated Annealing methods to jump around the sample space and avoid some of the local maxima. Here is a basic description of the difference: In a

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R-Function to Source all Functions from a GitHub Repository

January 1, 2012
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R-Function to Source all Functions from a GitHub Repository

Here's a function that sources all scripts from an arbitrary github-repository. At the moment the function downloads the whole repo and sources functions kept in a folder named "Functions" - this may be adapted for everyones own purpose.# Script name: ...

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NIPALS: Principal Components Analysis with "R" (Part: 002)

January 1, 2012
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NIPALS: Principal Components Analysis with "R" (Part: 002)

We started some posts based on the tutorials of:"Multivariate Statistical Analysis using the R package chemometrics"The first post was:Principal Components Analysis with "R" (Part: 001)Now we continue with a second part.The graphics help us to dec...

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Top 20 R posts of 2011 (and some R-bloggers statistics)

January 1, 2012
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Top 20 R posts of 2011 (and some R-bloggers statistics)

R-bloggers.com is now two years young. The site is an (unofficial) online R journal written by bloggers who agreed to contribute their R articles to the site. In this post I wish to celebrate R-bloggers’ second birthmounth by sharing with you: Links to the top 20 posts of 2011 Statistics on “how well” R-bloggers did Read more...

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Monetary Policy & Credit Easing pt. 7: R Econometrics Tests

January 1, 2012
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In post 6 we introduced some econometrics code that will help those working with time-series to gain asymptoticly efficient results.  In this post we look at the different commands and libraries necessary for testing our assumptions and such. Testing our Assumptions and Meeting the Gauss-Markov TheoremIn this section we will seek to test and verify the assumptions of the simple linear...

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