Monthly Archives: January 2014

Bias of Hill Estimators

January 28, 2014
By
$\overline{F}(x)=C x^{-\alpha}$

In the MAT8595 course, we’ve seen yesterday Hill estimator of the tail index. To be more specific, we did see see that if , with , then Hill estimators for are given by for . Then we did say that satisfies some consistency in the sense that if , but not too fast, i.e. (under additional assumptions on the...

Quantitative Finance Applications in R – 3: Plotting xts Time Series

January 28, 2014
By

by Daniel Hanson, QA Data Scientist, Revolution Analytics Introduction and Data Setup Last time, we included a couple of examples of plotting a single xts time series using the plot(.) function (ie, said function included in the xts package). Today, we’ll look at some quick and easy methods for plotting overlays of multiple xts time series in a single...

Using Last.fm to data mine my music listening history

I've (passively) been keeping meticulous records of almost every song I've listened to since January of 2008. Since I opened my last.fm account 6 years ago, they've accumulated a massive detailed dataset of the 107,222 songs I've listened to since then. The best thing is that they're willing to share this data with me! I »more

RQuantLib 0.3.11

January 27, 2014
By

A new minor / maintenance release RQuantLib 0.3.11 is now on CRAN and in Debian. Like the RcppClassic upload two days ago and the RcppZiggurat and RcppEigen uploads yesterday, this release was motivated at least in part by an upcoming Rcpp releas...

John Chambers recounts the history of S and R

January 27, 2014
By

"R has had a revolutionary effect on the way statistics are communicated." So says John Chambers: one of the members of the R-core team overseeing R; and co-inventor of the S language. In this interview with Trevor Hastie (his co-author on Statistical Models in S), John Chambers recounts his involvement in the birth of the S language in 1976,...

Difference between assignment operators in R

January 27, 2014
By

For R beginners, the first operator they use is probably the assignment operator <-. Google's R Style Guide suggests the usage of <- rather than = even though the equal sign is also allowed in R to do exactly the same thing when we assign a value to a variable. However, you might feel inconvenient because you need...

Emerging Currencies with rCharts + FRED

January 27, 2014
By

I liked this chart a lot. #Dailychart: Argentina's plunging peso is not alone: http://t.co/CWnaNLcm4T pic.twitter.com/4Nr6EgRGx9— The Economist (@ECONdailycharts) January 27, 2014 I thought I would show how we can semi-replicate it in R with rCharts.  Here it is with the currencies that are on FRED with

How to convert odds ratios to relative risks

January 27, 2014
By

My short paper on this came out on Friday in the British Medical Journal. The aim is to help both authors and readers of research make sense of this rather confusing but unavoidable statistic, the odds ratio (OR). The fundamental … Continue reading →

Expected overestimation of Cohen’s d under publication bias

January 27, 2014
By

Earlier this week I read this article about “Why Publishing Everything Is More Effective than Selective Publishing of Statistically Significant Results” by Mercal et al (2014). The authors simulated different meta-analytic scenarios and came to the conclusion that publishing everything is more effective for the scientific collective. This got me thinking about...

solr – an R interface to Solr

January 27, 2014
By

A number of the APIs we interact with (e.g., PLOS full text API, and USGS's BISON API in rplos and rbison, respectively) expose Solr endpoints. Solr is an Apache hosted project - it is a powerful search server. Given that at least two, and possibly more in the future, of the data providers we...