Monthly Archives: March 2013

Stan 1.2.0 and RStan 1.2.0

March 6, 2013
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Stan 1.2.0 and RStan 1.2.0

Stan 1.2.0 and RStan 1.2.0 are now available for download. See: http://mc-stan.org/ Here are the highlights. Full Mass Matrix Estimation during Warmup Yuanjun Gao, a first-year grad student here at Columbia (!), built a regularized mass-matrix estimator. This helps for posteriors with high correlation among parameters and varying scales. We’re still testing this ourselves, so The post Stan...

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Let’s Do Some Hierarchical Bayes Choice Modeling in R!

March 6, 2013
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Let’s Do Some Hierarchical Bayes Choice Modeling in R!

It can be difficult to work your way through hierarchical Bayes choice modeling.  There is just too much new to learn.  If nothing else, one gets lost in all ways that choice data can be collected and analyzed.  Then there is all this ou...

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Downloading CBS Fantasy Football Projections in R

March 6, 2013
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Downloading CBS Fantasy Football Projections in R

In this post, I will show how to download CBS fantasy football projections using R.The R ScriptThe R Script for downloading fantasy football projections from CBS is located at: https://github.com/dadrivr/FantasyFootballAnalyticsR/blob/master/R%20S...

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Lambda.r 1.1.1 released (and introducing the EMPTY keyword)

March 6, 2013
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Lambda.r 1.1.1 released (and introducing the EMPTY keyword)

I’m pleased to announce that lambda.r 1.1.1 is now available on CRAN. This release is mostly a bug fix release, …Continue reading »

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A volatility filter using historical vol

March 6, 2013
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A volatility filter using historical vol

We have been looking at a way to improve risk adjusted returns by using a volatility filter. Although we could use VIX or equivalent, it turns out that historical volatility will work just as well, if not a little better.You can see part 1 here Digging into the VIX, and part 2 here What can we use...

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Barycentric interpolation: fast interpolation on arbitrary grids

March 6, 2013
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Barycentric interpolation: fast interpolation on arbitrary grids

Barycentric interpolation generalises linear interpolation to arbitrary dimensions. It is very fast although suboptimal if the function is smooth. You might now it as algorithm 21.7.1 in Numerical Recipes (Two-dimensional Interpolation on an Irregular Grid). Using package geometry it can be implemented in a few lines of code in R. Here’s a quick explanation of what

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Exporting plain, lattice, or ggplot graphics

March 6, 2013
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Exporting plain, lattice, or ggplot graphics

A blend between a basic scatterplot, lattice scatterplot and a ggplot In a recent post I compared the Cairo packages with the base package for exporting graphs. Matt Neilson was kind enough to share in...

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Times per second benchmark

March 5, 2013
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In GNU R the simplest way to measure execution time of a piece code is to use system.time. However, sometimes I want to find out how many times some function can be executed in one second. This is especially useful when we want to compare function...

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Le Monde puzzle [#810]

March 5, 2013
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Le Monde puzzle [#810]

The current puzzle is as follows: Take a board with seven holes and seeds. The game starts with one player putting the seeds on the holes as he or she wishes. The other player picks a seed wherever. Then, alternatively, each player picks a seed in a hole contiguous to the previous one. The loser

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Predicted correlations and portfolio optimization

March 5, 2013
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Predicted correlations and portfolio optimization

What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of “The top 7 portfolio optimization problems” is that correlations spike during a crisis which is when you most want optimization to work. This post looks at a small piece of that question.  It wonders if increasing predicted … Continue reading...

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