Monthly Archives: January 2013

Does anything NOT beat the GARCH(1,1)?

January 7, 2013
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Does anything NOT beat the GARCH(1,1)?

In their paper on GARCH model comparison, Hansen and Lunde (2005) present evidence that among 330 different models, and using daily data on the DM/$ rate and IBM stock returns, no model does significantly better at predicting volatility (based on a realized measure) than the GARCH(1,1) model, for an out of sample period of about

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Creating a Covariance Matrix from Scratch

January 7, 2013
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I have been conducting several simulations that use a covariance matrix.  I needed to expand the code that I found in the psych package to have more than 2 latent variables (the code probably allows it but I didn’t figure it out).  I ran across Joreskog’s 1971 paper and realized that I could use the confirmatory factor analysis...

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Creating a Covariance Matrix from Scratch

January 7, 2013
By

I have been conducting several simulations that use a covariance matrix.  I needed to expand the code that I found in the psych package to have more than 2 latent variables (the code probably allows it but I didn’t figure it out).  I ran across Joreskog’s 1971 paper and realized that I could use the confirmatory factor analysis...

Read more »

Speed trick: unlist(…, use.names=FALSE) is heaps faster!

January 7, 2013
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Sometimes a minor change to your R code can make a big difference in processing time. Here is an example showing that if you're don't care about the names attribute when unlist():ing a list, specifying argument use.names=FALSE can speed up the process...

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Setting up emacs org-mode babel for R on Ubuntu

January 7, 2013
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Setting up emacs org-mode babel for R on Ubuntu

I installed org-mode seperately, since I had troubles with its default setting (similar to the problems described here). sudo apt-get install org-mode Next I download and installed ESS cd ~/.emacs.d/ wget http://ess.r-project.org/downloads/ess/ess-12.09-1.zip unzip ess-12.09-1.zip rm ess-12.09-1.zip Finally I had to … Continue reading →

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R/Finance 2013: May 17-18 in Chicago

January 7, 2013
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This year's R/Finance conference on applied finance with R is scheduled for May 17-18 in Chicago, and promises once again to be the go-to conference for anyone using R in the finance industry. The keynote speakers have been announced, and it's a great lineup: Sanjiv Das, Professor of Finance and Chair of Finance Dept, Santa Clara University’s Leavey School...

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Breaking the rules with spatial correlation

January 7, 2013
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Breaking the rules with spatial correlation

Students in any basic statistics class are taught linear regression, which is one of the simplest forms of a statistical model. The basic idea is that a ‘response’ variable can be mathematically related to one or any number of ‘explanatory’ variables through a linear equation and a normally distributed error term. With any statistical tool,

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Don’t R alone! A guide to tools for collaboration with R

January 7, 2013
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Don’t R alone! A guide to tools for collaboration with R

This a brief guide to using R in collaborative, social ways. R is a powerful open-source programming language for data analysis, statistics, and visualization, but much of its power derives from a large, engaged community of users. This is an introduction to tools for engaging the community to improve your R code and collaborate with others. (Am I...

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Symbolic Differentiation in Julia

January 7, 2013
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A Brief Introduction to Metaprogramming in Julia In contrast to my previous post, which described one way in which Julia allows (and expects) the programmer to write code that directly employs the atomic operations offered by computers, this post is meant to introduce newcomers to some of Julia’s higher level functions for metaprogramming. To make

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Comment: Search and Replace

January 7, 2013
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A post in R bloggers caught my attention this morning. The main idea was that how can you change objects in a string. For example given a basket of fruits we would like to change apples to bananas by using R and the ifelse funtion. There are two main solutions how to change one object into another: #Given a...

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