I like the idea of having data on school performance, not to directly rank schools—hard, to say the least, at this stage—but because we can start having a look at the factors influencing test results. I imagine the opportunity in … Continue reading →
What is variance targeting in garch estimation? And what is its effect? Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series The last two of these show the variability of garch estimates on simulated series where we know the right answer. In response to … Continue reading...
It’s Friday night, there’s nothing good on TV, mmm conditions are perfect for shaggin about in R. So I’m an NFL fan, and (shameless plug) avid fan of this NFL podcast. They run their own pickem league which unless users … Continue reading →
First an apology, the links to the Universal Portfolio paper have stopped working. This is because the personal webpage of Thomas Cover at Stanford has been taken down, but fortunately the content moved elsewhere. The new link is Universal ...
Today I want to follow up with the Minimum Correlation Algorithm Paper post and show how to incorporate the Minimum Correlation Algorithm into your portfolio construction work flow and also explain why I like the Minimum Correlation Algorithm. First, let’s load the ETF’s data set used in the Minimum Correlation Algorithm Paper using the Systematic 
After reading data, making a predictions display and building a football data model it is time to put this to validate a bit more (regression plots) and put to usage. It appears that the regression plots in the car package were not ...
It’s been quite a while since my last post on Euler problems. Today a visitor post his solution to the second problem nicely, which encouraged me to keep solving these problems. Just for fun! 10! = 10 * 9 * … * 3 * 2 * 1 … Continue reading →
For R beginners, the apply() function seems like a secret doorway into programming bliss. It seems so powerful, and yet, beyond reach. For those just starting out, examples of how to use apply() can really help with the intuition of how to h...
Consider our loss-ALAE dataset, and - as in Frees & Valdez (1998) - let us fit a parametric model, in order to price a reinsurance treaty. The dataset is the following, > library(evd) > data(lossalae) > Z=lossalae > X=Z;Y=Z ...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
