This post is from my new book Forecasting: principles and practice, available freely online at OTexts.com/fpp/. A non-seasonal ARIMA model can be written as (1) or equivalently as (2) where is the backshift operator, and is the mean of . R uses the parametrization of equation (2). Thus, the inclusion of a constant in a non-stationary ARIMA...
Random number generation is a core topic in numerical computer science. There are many efficient algorithms for generating random (strictly speaking, pseudo-random) variates from different probability distributions. The figure below shows a sampling of...
I have fixed the link to the video "Removing Y outliers from the validation set" and it´s time to see what could be the next step to the function. As we know the RMSEP is the sum of the explained (BIAS) and unexplained error (SEP). We get also the SEP...
The Bland-Altman plot is a visual aid for assessing differences between two ways of measuring something. For example, one might compare two scales this way, or two devices for measuring particulate matter.
The plot simply displays the difference between the measures against their average. Rather than a statistical test, it is intended...
This is my third update to my original post on predicting the NBA playoffs with an algorithm. Here are updates 1 and 2. The algorithm correctly predicted a Boston win, but missed on the Spurs/Thunder game, so it is currently 4-2. Haven't had any time...
Working on a paper, I ran into the problem of needing data from a graph that was not mine, and for which no underlying table was published. With today's software packages, it is however not very difficult to digitize a figure yourself. I remembered rea...
Revolution Analytics is proud to announce the latest update to our enhanced, production-grade distribution of R, Revolution R Enterprise. This update expands the range of supported computation platforms, adds new Big Data predictive models, and updates to the latest stable release of open source R (2.14.2), which improves performance of the R interpreter by about 30%. This release expands...
You have a problem: R is single-threaded, but your code would be faster if it could simultaneously run on more than one core. You have access to a cluster and/or your computer has multiple cores. Parallel R, by Q. Ethan McCallum and Stephen...
A new version of googleVis has been released on CRAN and the project site. Version 0.2.16 adds the functionality to plot quarterly and monthly data as a motion chart. To illustrate the new feature I looked for a quarterly data set and stumbled across t...
Today I want to examine the performance of stocks in the S&P 500 grouped into Quantiles based on one year historical Volatility. The idea is very simple: each week we will form Volatility Quantiles portfolios by grouping stocks in the S&P 500 into Quantiles using one year historical Volatility. Next we will backtest each portfolio 
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
