In general, the standard practice for correcting for population stratification in genetic studies is to use principal components analysis (PCA) to categorize samples along different ethnic axes. Price et al. published on this in 20...

The “Minimum Correlation Algorithm” is a term I stumbled at the CSS Analytics blog. This is an Interesting Risk Measure that in my interpretation means: minimizing Average Portfolio Correlation with each Asset Class for a given level of return. One might try to use Correlation instead of Covariance matrix in mean-variance optimization, but this approach,

With R 2.14 slated to be released next week we wanted to encourage everyone planning to upgrade to also update to the latest release of RStudio (v0.94.110). For R 2.14 users this release includes tweaks related to compatibility with the R 2.14 graphics engine as well as compatibility with the new parallel package. There are

And now for something a bit more esoteric…. I recently wrote a function to deal with a strange problem. Writing the function ended up being a fun challenge related to computing on the R language itself. Here’s the problem: Write a function that tak...

The book is by Manfred Gilli, Dietmar Maringer and Enrico Schumann. I haven’t actually seen the book, so my judgement of it is mainly by the cover (and knowing the first two authors). The parts of the book closest to my heart are optimization, particularly portfolio optimization, and particularly particularly portfolio optimization via heuristic algorithms. … Continue reading...

Someone asked me how to move a directory full of files from one place to another using R. The easiest way I've found is as follows (where "oldpath" is the existing directory and "newpath" is the new directory): file.copy(list.files(oldpath),newpath) Tags: R

Bubbles. I’m no expert in behavioral economics, but bubbles seem to be well understood (after they occur) although they seem hard to detect (at least in the eyes of outsiders and late bubble participants). This post won’t tell you how to avoid bubbles, but might give you some insight. I came across Minsky’s explanation of

For anyone who wants to estimate linear or nonlinear mixed-effects models (aka random-effects models, hierarchical models or multilevel models) using the R language, the Quantum Forest blog has several recent posts that will be of interest. Written by Luis Apiolaza from the School of Forestry at the University of Canterbury in New Zealand, the blog includes a number of...

Starting to write a blog I need a way how to publish my R codes. One possibility would be to just add some formatting with Pretty R. Nice, but I miss a repository with all codes ever submitted and possibility to make corrections.The final solution was ...

In the last few posts I introduced Maximum Loss, Mean-Absolute Deviation, and Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) risk measures. These risk measures can be formulated as linear constraints and thus can be combined with each other to control multiple risk measures during construction of efficient frontier. Let’s examine efficient frontiers computed

The PAWL package (which I talked about there, and which implements the parallel adaptive Wang-Landau algorithm and adaptive Metropolis-Hastings for comparison) is now on CRAN! http://cran.r-project.org/web/packages/PAWL/index.html which means that within R you can easily install it by typing install.packages("PAWL") Isn’t that amazing? It’s just amazing. Kudos to the CRAN team for their quickness and their

Hello dear R community, In the past few months I have rolled out a bunch of new features to R-bloggers, and I wanted to raise awareness to them. Please consider giving some of these a try and leave me any feedback that you have (by leaving a comment on this post): Comments – it is now possible to leave comments in...

We introduced batch processing 3 weeks ago. Many people asked about differences and benefits of batch processing or interactive sessions. Lets start with the definitions: Batch Processing / Batch Jobs: Batch processing is the execution of a series of programs or only one task on a computer environment without manual intervention. All data and commands

My treebase package is now up on the CRAN repository. (Source code is up, the binaries should appear soon). Here’s a few introductory examples to illustrate some of the functionality of the package. Thanks in part to new data deposition requirements at journals such as Evolution, Am Nat, and Sys Bio, and data management plan

Introduction This semester I’m TA’ing a course on the Psychology of Music taught by Phil Johnson-Laird. It’s been a great course to teach because (i) so much of the material is new to me and (ii) because the study of the psychology of music brings together so many of the intellectual tools I enjoy, including

Dan Woods at Forbes interviewed LinkedIn's Daniel Tunkelang about the rise of data science and on building data science teams. When asked how students today should prepare themselves to be data scientists, Tunkelang gives some good advice: When we built the data science team at LinkedIn a few years ago, we looked for raw talent, assuming that smart people...

Here is our discussion (with Nicolas Chopin) of the Read Paper of last Wednesday by T. van Erven, P. Grünwald and S. de Rooij (Centrum voor Wiskunde en Informatica, Amsterdam), entitled Catching up faster by switching sooner: a predictive approach to adaptive estimation with an application to the Akaike information criterion–Bayesian information criterion dilemma. It

So you want to get statistical? Nowadays one of the ways to go is to use R, mostly in combination with ggplot2 for generating the plots. These plots and graphs however need some data, for that we use data sources. There are a lot of data sources availa...