# 294 search results for "evaluation"

## Forecast estimation, evaluation and transformation

November 9, 2010
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I’ve had a few emails lately about forecast evaluation and estimation criteria. Here is one I received today, along with some comments. I have a rather simple question regarding the use of MSE as opposed to MAD and MAPE. If the parameters of a time series model are estimated by minimizing MSE, why do we

## RSI(2) Evaluation

June 28, 2009
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Despite my best efforts, it's been a month since the last post of this series. The first post replicated this simple RSI(2) strategy from the MarketSci Blog using R. The second post showed how to replicate the strategy that scales in/out of RSI(2)....

## You don’t need to understand pointers to program using R

April 1, 2014
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R is a statistical analysis package based on writing short scripts or programs (versus being based on GUIs like spreadsheets or directed workflow editors). I say “writing short scripts” because R’s programming language (itself called S) is a bit of an oddity that you really wouldn’t be using except it gives you access to superiorRelated posts:

## Process and observation uncertainty explained with R

March 31, 2014
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$Process and observation uncertainty explained with R$

Once up on a time I had grand ambitions of writing blog posts outlining all of the examples in the Ecological Detective.1 A few years ago I participated in a graduate seminar series where we went through many of the examples in this book. I am not a population biologist by trade but many of

## Bayesian Data Analysis [BDA3 - part #2]

March 30, 2014
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Here is the second part of my review of Gelman et al.’ Bayesian Data Analysis (third edition): “When an iterative simulation algorithm is “tuned” (…) the iterations will not in general converge to the target distribution.” (p.297) Part III covers advanced computation, obviously including MCMC but also model approximations like variational Bayes and expectation propagation

## Filtering Data with L1 Regularisation

March 27, 2014
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$Filtering Data with L1 Regularisation$

A few days ago I posted about Filtering Data with L2 Regularisation. Today I am going to explore the other filtering technique described in the paper by Tung-Lam Dao. This is similar to the filter discussed in my previous post, but uses a slightly different objective function: where the regularisation term now employs the L1

## MoneyPuck – Best subsets regression of NHL teams

March 17, 2014
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Spring is at hand and it is a time of renewal, March Madness and to settle scores in the NHL.  There are many scores to be settled: Flyers vs. Penguins, Blackhawks vs. Red Wings, Leafs vs. Habs and pretty much everyone else vs. the Bruins.  L...

## BurStFin R package version 1.02 released

March 16, 2014
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More efficiency and an additional function in the new version on CRAN. Variance estimation The major functionality in the package is variance estimation: Ledoit-Wolf shrinkage via var.shrink.eqcor statistical factor model (principal components) via factor.model.stat There have been a number of previous blog posts on both factor models and Ledoit-Wolf shrinkage. Positive-definiteness The default value of … Continue reading...

## MOOCs and courses to learn R

March 14, 2014
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Inspired by this article i thought about gather here all multimedia resources that i know to learn use R. Today The post MOOCs and courses to learn R appeared first on Flavio Barros .