Blog Archives

Extended Kalman filter example in R

January 13, 2015
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Extended Kalman filter example in R

Last week's post about the Kalman filter focused on the derivation of the algorithm. Today I will continue with the extended Kalman filter (EKF) that can deal also with nonlinearities. According to Wikipedia the EKF has been considered the de facto standard in the theory of nonlinear state estimation, navigation systems and GPS.Kalman filterI had the following...

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Kalman filter example visualised with R

January 6, 2015
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Kalman filter example visualised with R

At the last Cologne R user meeting Holger Zien gave a great introduction to dynamic linear models (dlm). One special case of a dlm is the Kalman filter, which I will discuss in this post in more detail. I kind of used it earlier when I measured the temperature in my room. Over the last...

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Notes from the Kölner R meeting, 12 December 2014

December 16, 2014
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Notes from the Kölner R meeting, 12 December 2014

Last week's Cologne R user group meeting was the best attended so far, and it was a remarkable event - I believe not a single line of R code was shown. Still, it was an R user group meeting with two excellent talks, and you will understand shortly why not much R code needed to be displayed.Introduction to Julia...

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Next Kölner R User Meeting: Friday, 12 December 2014

December 9, 2014
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Next Kölner R User Meeting: Friday, 12 December 2014

The next Cologne R user group meeting is scheduled for this Friday, 12 December 2014.We have an exciting agenda with two talks on Julia and Dynamic Linear Models:Introduction to Julia for R Users Hans Werner BorchersJulia is a high-performance dynamic programming language for scientific computing, with a syntax that is familiar to users of other technical...

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How cold is it? A Bayesian attempt to measure temperature

November 25, 2014
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How cold is it? A Bayesian attempt to measure temperature

It is getting colder in London, yet it is still quite mild considering that it is late November. Well, indoors it still feels like 20°C (68°F) to me, but I have been told last week that I should switch on the heating. Luckily I found an old thermometer to check. The thermometer showed 18°C. Is it really below 20°C?...

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First steps with ChainLadder: Import triangle from Excel into R

November 18, 2014
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First steps with ChainLadder: Import triangle from Excel into R

Taking the first step is often the hardest: getting data from Excel into R. Suppose you would like to use the ChainLadder package to forecast future claims payments for a run-off triangle that you have stored in Excel. How do you get the triangle into R and execute a reserving function, such as MackChainLadder?Well, there are...

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Unknown pleasures

November 11, 2014
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Unknown pleasures

Have I missed unknown pleasures in Python by focusing on R? A comment on my blog post of last week suggested just that. Reason enough to explore Python a little. Learning another computer language is like learning another human language - it takes time...

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Phase plane analysis in R

November 4, 2014
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Phase plane analysis in R

The forthcoming R Journal has an interesting article about phaseR: An R Package for Phase Plane Analysis of Autonomous ODE Systems by Michael J. Grayling. The package has some nice functions to analysis one and two dimensional dynamical systems. As an example I use here the FitzHugh-Nagumo system introduced earlier:begin{align}dot{v}=&2 (w + v - frac{1}{3}v^3)...

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googleVis 0.5.6 released on CRAN

October 14, 2014
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googleVis 0.5.6 released on CRAN

Version 0.5.6 of googleVis was released on CRAN over the weekend. This version fixes a bug in gvisMotionChart. Its arguments xvar, yvar, sizevar and colorvar were not always picked up correctly. Thanks to Juuso Parkkinen for reporting this issue.Exampl...

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Visualising the seasonality of Atlantic windstorms

October 7, 2014
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Visualising the seasonality of  Atlantic windstorms

Last week Arthur Charpentier sketched out a Markov spatial process to generate hurricane trajectories. Here, I would like to take another look at the data Arthur used, but focus on its time component. According to the Insurance Information Institute, a normal season, based on averages from 1980 to 2010, has 12 named storms, six hurricanes and...

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