338 search results for "evaluation"

Forecast estimation, evaluation and transformation

November 9, 2010
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Forecast estimation, evaluation and transformation

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

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RSI(2) Evaluation

June 28, 2009
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RSI(2) Evaluation

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). ...

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Twitter’s R package for detecting breakouts in time series

November 24, 2014
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Twitter’s R package for detecting breakouts in time series

With so many more devices and instruments connected to the "Internet of Things" these days, there's a whole lot more time series data available to analyze. But time series are typically quite noisy: how do you distinguish a short-term tick up or down from a true change in the underlying signal? To solve this problem, Twitter created the BreakoutDetection...

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‘Open sourcing’ microsimulation with R

October 23, 2014
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‘Open sourcing’ microsimulation with R

These are the slides from a presentation today at the European conference of the IMA, held in Maastricht, 23rd to 24th October, 2014. Microsimulation, as its name suggests, is about modelling things at the individual-level. In practice, this usually means estimating the characteristics of people using statistical or econometric techniques. Microsimulation, as represented by the International Microsimulation Association...

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Subset replacement in pqR: Now faster and better

October 13, 2014
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Subset replacement in pqR: Now faster and better

The latest version of pqR that I just released uses a new way of implementing subset replacement operations — such as a<-1 or L$M<-v. The new approach is much faster, and eliminates some strange behaviour of the previous approach. This change affects only interpreted code. The bytecode compiler (available since R-2.13.0) introduced a different mechanism, which is

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dplyr 0.3

October 13, 2014
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dplyr 0.3

I’m very pleased to announce that dplyr 0.3 is now available from CRAN. Get the latest version by running: install.packages("dplyr") There are four major new features: Four new high-level verbs: distinct(), slice(), rename(), and transmute(). Three new helper functions between, count(), and data_frame(). More flexible join specifications. Support for row-based set operations. There are two

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R as a general-purpose language for creating DSLs

October 6, 2014
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As a computer scientist, RStudio's Joe Cheng has some great insights into the R language and how it compares with other programming language. In the interview with DataScience.LA below, he notes that while R is often thought about as a domain-specific language (or DSL), the combination of a functional language with deferred evaluation of functional arguments actually makes it...

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Error propagation based on interval arithmetics

September 27, 2014
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Error propagation based on interval arithmetics

I added an interval function to my ‘propagate’ package (now on CRAN) that conducts error propagation based on interval arithmetics. It calculates the uncertainty of a model by using interval arithmetics based on (what I call) a “combinatorial sequence grid evaluation” approach, thereby avoiding the classical dependency problem that often inflates the result interval. This

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Nuts and Bolts of Quantstrat, Part III

September 20, 2014
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Nuts and Bolts of Quantstrat, Part III

This post will focus on signals in quantstrat. In comparison to indicators, signals in quantstrat are far more cut-and-dry, as … Continue reading →

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Creating a map showing land covered by rising sea levels

September 15, 2014
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I joined the Geekli.st climate Hackathon this weekend at the Hub Westminster (my favorite venue for Hackathons). While the organizers had lots of enthusiasm they had very little in the way of data for us to work on. No problem, ever since the Flood-relief hackathon I have wanted to use the SRTM ‘whole Earth’ elevation

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