Monthly Archives: January 2013

http://cran.r-project.org/web/packages/Lambda4/index.html

January 6, 2013
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http://cran.r-project.org/web/packages/Lambda4/index.html: Our own JackStat (Tyler) published his first package in R.

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Batch forecasting in R

January 6, 2013
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I sometimes get asked about forecasting many time series automatically. Here is a recent email, for example: I have looked but cannot find any info on generating forecasts on multiple data sets in sequence. I have been using analysis services for sql server to generate fitted time series but it is too much of a black box (or I...

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tRanscribing music from audio files

January 6, 2013
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While working on one of my side projects, I realized that if I want to work with audio inputs, I may need to do a little bit of audio processing. Last time I did some work with signal processing I … Continue reading →

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Search and replace: Are you tired of nested `ifelse`?

January 6, 2013
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It happens all the time: you have a vector of fruits and you want to replace all bananas with apples, all oranges with pineapples, and leave all the other fruits as-is, or maybe change them all to figs. The usual solution? A big old nested `ifelse`: ...

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Demonstrate your R code with an interactive, embeddable Javascript widget

January 6, 2013
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Demonstrate your R code with an interactive, embeddable Javascript widget

Let visitors execute and play with simple R examples right on your web page, thanks to a web service and an embeddable widget provided by the Sage project.

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2012 Summary and 2013 Plans

January 6, 2013
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2012 Summary and 2013 Plans

2012 was a very important year for me. It was my first full year of trading only pure quantitative strategies. It was a very successful year as well, despite the fact that the S&P 500 returned 16% (including dividends) – a tough to beat benchmark. The strategy I use on the SPY, for which I

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Bayesian Classification with Gaussian Process

January 6, 2013
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Bayesian Classification with Gaussian Process

Despite prowess of the support vector machine, it is not specifically designed to extract features relevant to the prediction. For example, in network intrusion detection, we need to learn relevant network statistics for the network defense. In consu...

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More Principal Components Fun

January 6, 2013
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More Principal Components Fun

Today, I want to continue with the Principal Components theme and show how the Principal Component Analysis can be used to build portfolios that are not correlated to the market. Most of the content for this post is based on the excellent article, “Using PCA for spread trading” by Jev Kuznetsov. Let’s start by loading

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PLS Path Modeling with R: A Comprehensive Tutorial by Gaston Sanchez

January 6, 2013
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PLS Path Modeling with R: A Comprehensive Tutorial by Gaston Sanchez

Gaston Sanchez has just published an online pdf of his new book PLS Path Modeling with R.I have been using Gaston's plspm r package for a couple of years to analyze marketing data.  I started when I needed to test a path model in wh...

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Querying an SQLite database from R

January 6, 2013
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You have an SQLite database, perhaps as part of some replication materials, and you want to query it from R. You might want to be able to say: results <- runsql("select * from mytable order by date") and get the results back as an R object. Here's a function to do it. In the following,

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