I continue developing the Monitor function in R. The idea is to get statistics which help me to understand the performance of my model.Of course the validation set must be free of outliers (X or Y).I add this time two new statistics: RER and ...
Graduate students in statistics often take (or at least have the opportunity to take) a statistical computing course, but often such courses are focused on methods (like numerical linear algebra, the EM algorithm, and MCMC) and not on actual coding. For example, here’s a course in “advanced statistical computing” that I taught at Johns Hopkins 
The beauty of R and academic replication is that on the Friday before Memorial Day weekend I can read an academic paper and do some analysis all before breakfast. In this case, the paper is Hsieh, David A. and Fung, William, The Risk in Hedge F...
I am happy to repost the information I got about the course “Introduction to R” that will be organized by Milano R net in collaboration with Quantide. The course will be held in Milano, Italy, June 7-8, 2012, and is intended to introduce the unexperienced user to R. For furhter info visit milano R net 
In a number of previous posts I considered the temperature proxies that have been used to reconstruct global mean temperatures during the past millenium. In this post I want to show how such a temperature reconstruction would look like if the proxies had no relation at all to the actual temperatures. The motivation is the 
In this post, I will demonstrate how to quickly visualize correlations using the PerformanceAnalytics package. Thanks to the package creators, it is really easy correlation and many other performance metrics. The first chart looks at the rolling 252 day correlation of nine sector ETFs using SPY as the benchmark. As expected the correlation is rather … Continue reading...
While Tsipras and his Syriza coalition have been busy in Greek parliament, the Internet has been a-buzz with speculation that their platform will result in a Greek exit from the Euro currency. This prospect, affectionately dubbed “Grexit” by Citi… Read more ›
A short post today based on recent work by @3wen (Ewen Galic, graduate Student in Rennes, spending a year in Montreal). Since we were working on a detailed French dataset (per commune), we needed a dataset containing a list all communes, with popu...
There’s been lots of excitement about the new R Markdown feature introduced as part of knitr 0.5 and RStudio 0.96. People see R Markdown as both a simpler way to do reproducible research and as a great way to publish to the web from R. Jeromy Anglim has a nice write up on getting started with 
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
