I finally got around to publishing my time series cross-validation package to github, and I plan to push it out to CRAN shortly. You can clone the repo using github for mac, for windows, or linux, and then run the following script to...
Blog Archives
My first R package: parallel differential evolution
Last night I was working on a difficult optimization problems, using the wonderful DEoptim package for R. Unfortunately, the optimization was taking a long time, so I thought I'd speed it up using a foreach loop, which resulted in the fo...
Benchmarking time series models
This is a quick post on the importance of benchmarking time-series forecasts. First we need to reload the functions from my last few posts on times-series cross-validation. (I copied the relevant code at the bottom of this post so you don't...
Time series cross-validation 3
I've updated my time-series cross validation algorithm to fix some bugs and allow for a possible xreg term. This allows for cross-validation of multivariate models, so long as they are specified as a function with the following ...
A pure R poker hand evaluator
There's already a lot of great posts out there about poker hand evaluators, so I'll keep this short. Kenneth J. Shackleton recently released a very slick 5-card and 7-card poker hand evaluator called SpecialK. This evaluator is li...
Time series cross-validation 2
In my previous post, I shared a function for parallel time-series cross-validation, based on Rob Hyndman's code. I thought I'd expand on that example a little bit, and share some additional wrapper functions I wrote to test other forecasting ...
Functional and Parallel time series cross-validation
Rob Hyndman has a great post on his blog with example on how to cross-validate a time series model. The basic concept is simple: You start with a minimum number of observations (k), and fit a model (e.g. an arima model) to those observation...
Backtesting Part 4: random strategies
Note: This post is NOT financial advice! This is just a fun way to explore some of the capabilities R has for importing and manipulating data. In part 2, we found that our 200-day high, hold 100 days strategy yielded average annual return...
Backtesting a Simple Stock Trading Strategy: Part 3
Note: This post is NOT financial advice! This is just a fun way to explore some of the capabilities R has for importing and manipulating data. In a previous post, I examined a simple stock trading strategy: Find the high point over the la...
Recession forecasting III: A Better Naive Forecast
In Recession Forecasting Part II, I compared the accuracy of Hussman's recession forecasts to the accuracy of a naive forecast that assumed the current state of the recession variable would continue next month. An anonymous comment...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
