The purpose of Rcpp modules has always been to make it easy to expose C++ functions and classes to R. Up to now, Rcpp modules did not have a way to declare inheritance between C++ classes. This is now fixed in the development version, and t...

When I talk about collaborative work, I don’t mean spending a day or two helping compute some p-values and end up as middle author in a subject-matter paper. I mean spending months working on a project, from start to finish, with experts … Continue reading →

Much of my time lately has gone into analyzing and trading products in the volatility complex. As a result, I regularly watch the VIX term structure for continuations or deviations from trend. To make analysis simpler, I’ve written some… Read more ›

Dear R experts, I sent this question to the r-help list but didn’t get much response, probably because it is more of a stats question. But as this blog is syndicated on r-bloggers I thought I would try it again here on this blog. If I am barking up the wrong tree, feel free to

When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix of returns over time to compute the (long-term) portfolio return. “A tale of two returns” tells us that aggregation over time is easiest to do in … Continue reading...

Here’s an addition to my last post on using Wikipedia data to analyse attention for the US presidential elections 2012. Here’s another look at the interest not for the candidates’ Wikipedia pages but the general pages for the elections 2008 and 2012. Compared to the candidates’ pages, the attention for the general

For now this is the last post about these football data. It started in August, by now it is November. But just to finish up; the model as it should have been last week.ModelAs most of what I did is described last week, only the model as it went in Jags...

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