Monthly Archives: September 2013

Volume-weighted Exponential Moving Average

September 27, 2013
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While I was working on a smoothing function, I came across the EMA (exponential moving average) which basically applies exponentially-decreasing weights to older observations. This is commonly used in finance, and can offer some protection against lags in trend movements. As I was looking to combine this moving average with a volume-weighted version, or simply

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Long Winding Road Marked with Error Bars and Tweets

September 27, 2013
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Long Winding Road Marked with Error Bars and Tweets

Not much finance here, but a lot of d3 and R.

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MRMR on CRAN

September 27, 2013
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MRMR on CRAN

MRMR version 0.1.3 is now available on CRAN. This is (almost) the same version that was discussed at the CLRS two weeks ago. MRMR – Multivariate Regression Models for Reserving- is a tool for non-life actuaries to estimate liability reserves. The emphasis is on exploratory data analysis, visualization and model diagnostics. At present, the framework

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Forecasting Using R: A new online course from Rob Hyndman

September 27, 2013
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Statistical forecasting is a critical component of every modern business, and Rob J Hyndman, Professor of Statistics at Monash University, is an expert in the field. He's the co-author of several books on forecasting, including Forecasting: Principles and Practice, a free on-line book that provides a comprehensive introduction to forecasting methods. You can implement all of the methods in...

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Things I Forget: Reading a Shapefile in R with readOGR

September 27, 2013
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Things I Forget: Reading a Shapefile in R with readOGR

One of the more common ways that I read vector data into R is via shapefiles.  I tend to use these partly becuase of my own sordid past with Arc/INFO, ArcView and ArcGIS and partly due to their ubiquity.  In any event I have found the R package, rgdal, indespensible for this.  One of the

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Google Summer of Code experiences

September 27, 2013
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Google Summer of Code experiences

In the followings you could hopefully read an enjoyable summary about my summer. Instead of going out regularly, like in the years before, I spent the majority of my time on R package-development. Before that change obviously there were some previous signs which showed me, life is not what it was before. I don't want to land on a...

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Logistic regression and categorical covariates

September 26, 2013
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Logistic regression and categorical covariates

A short post to get back – for my nonlife insurance course – on the interpretation of the output of a regression when there is a categorical covariate. Consider the following dataset > db = read.table("http://freakonometrics.free.fr/db.txt",header=TRUE,sep=";") > tail(db) Y X1 X2 X3 995 1 4.801836 20.82947 A 996 1 9.867854 24.39920 C 997 1 5.390730 21.25119 D 998 1...

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Perform a Function on Each File in R

September 26, 2013
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Sometimes you might have several data files and want to use R to perform the same function across all of them. Or maybe you have multiple files and want to systematically combine them into one file without having to open each file and manually copy the...

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R 3.0.2 and RStudio 0.9.8 are released!

September 26, 2013
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R 3.0.2 (codename “Frisbee Sailing”) was released yesterday. The full list of new features and bug fixes is provided below. Also, RStudio v0.98 (in a “secret” preview) was announced two days ago with MANY new features, including: Amazing new debugging …Read more »

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Direction of Change Forecasting III: One Signal, Many Markets

September 26, 2013
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Direction of Change Forecasting III: One Signal, Many Markets

In the global economic landscape, national borders have become increasingly blurred. Local economies depend on competitively priced global inputs and on well functioning and prosperous global markets for their exports. This interdependency also means that as a system, a crisis in one area quickly spreads to others areas like a ripple spreading outwards. And sometimes

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