Insights into Quantile Regression from Arthur Charpentier

April 24, 2012
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At this Monday’s Montreal R User Group meeting, Arthur Charpentier gave an interesting talk on the subject of quantile regression. One of the main messages I took away from the workshop was that quantile regression can be used to determine if extreme events are becoming more extreme. The example given was hurricane intensity since 1978.

Varying Window Length for Linear Models on Stocks

April 24, 2012
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In a previous post, we discussed ideas generated by a Timely Portfolio post about Linear Models on Stock. I wanted to see if there was a relationship between the window length of the running mean of the linear regression slope estimate and the running mean of the correlation between fitted and observed values. The parameters

How to remember point shape codes in R

April 24, 2012
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I suspect I am not unique in not being able to remember how to control the point shapes in R. Part of this is a documentation problem: no package ever seems to write the shapes down. All packages just use the “usual set” that derives from S-Plus and was carried through base-graphics, to grid, lattice Related posts:

Heat map visualization of sick day trends in Finland with R, ggplot2 and Google Correlate

April 24, 2012
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Inspired by Margintale’s post “ggplot2 Time Series Heatmaps” and Google Flu Trends I decided to use a heat map to visualize sick days logged by HeiaHeia.com Finnish users. I got the data from our database, filtering results by country (Finnish users only) in a tab separated form with the first line as the header. Three columns

Rmetrics financial engineering workshop

April 24, 2012
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For those looking for an in-depth workshop on financial engineering with R, look no further than the R/Rmetrics Workshop and Summer School held annually in beautiful Meielisalp, Switzerland. This is an intimate workshop limited to around 50 participants, and features tutorials from leading practitioners in finance with R. This year's workshop takes plase June 24-28. You can find the...

Animations in R

April 24, 2012
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Animated charts can be very helpful in illustrating concepts or discovering relationships, which makes them very helpful in teaching and exploratory research. Fortunately, creating animated graphs in R is fairly straightforward, once you have the right tools and understand a few basic principles about how the animations are created. In this article I’ll provide an The post Animations...

Animations in R

April 24, 2012
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Animated charts can be very helpful in illustrating concepts or discovering relationships, which makes them very helpful in teaching and exploratory research. Fortunately, creating animated graphs in R is fairly straightforward, once you have the right...

R: Interactive 3D WebGL plot of time-space cube with RGL

April 24, 2012
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With the recently relased version of the package RGL (V. 0.92.879) there is a new option to publish 3D plots as an interactive WebGL graphic. Nearly every 3D plot you set up in a RGL window can be exportet via a very easy command. Just plot as usual into your rgl device and then use

Milano R net meeting

April 24, 2012
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I received the announce of the first Milano R net meeting, and I am glad to post it below. If you are based in Milano area you might think about going. If you are not based in Milano area, you might think about going as well! Milano R net Milano R net is a users

April 24, 2012
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Following my previous post about rewriting my code to run in parallel I have modified the code for downloading the S&P 500 prices from Yahoo to run i parallel as well. To be honest, I quite enjoy writing the code to run in parallel. It's fun for various reasons, but some theoretical background is highly

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

April 23, 2012
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Analyzing transactions in quantstrat This post will be part 1 of a follow up to the original post, Simple Moving Average Strategy with a Volatility Filter. In this follow up, I will take a closer look at the individual trades of each strategy. This may provide valuable information to explain the difference in performance of the SMA … Continue reading...

Project Euler…in LaTeX?

April 23, 2012
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I've been joking for a while now that I was going to start solving project euler problems in LaTeX.  Then today I finally did one.  So let's talk about solving Project Euler problem number 1 (the easy one) using only LaTeX. The problem asks you to sum up all the positive integers below 1000 which are divisible by 3...

Complex arithmetic and airplane wings

April 23, 2012
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$Complex arithmetic and airplane wings$

I was once told that the reason that such a shape was so commonly used for aeroplane wings was merely that then one could study it mathemtically by just employing the Zhoukowski transformation. I hope that this is not true! (R. Penrose, “The Road to Reality”, p.150) Penrose here talks about a complex holomorphic mapping

Drawdown Look at Frontier of Assets and Systems

April 23, 2012
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In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...

Short R script to plot effect sizes (Cohen’s d) and shade overlapping area

April 23, 2012
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In this short post I take a look at how to use R and ggplot2 to visualize effect sizes (Cohen’s d) and how to shade the overlapping area of two distributions.

April 23, 2012
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A few days ago, Andrew Barr had a great post on his blog. It was titled, "R is not just for nerds....it has drop-down menus!" You can bet that this one caught my eye when it was re-posted on R-Bloggers.Briefly, Andrew takes us through the installation and basic use of the Java Gui for R (JGR) in...

Introduction to Oracle R Connector for Hadoop

April 23, 2012
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MapReduce, the heart of Hadoop, is a programming framework that enables massive scalability across servers using data stored in the Hadoop Distributed File System (HDFS). The Oracle R Connector for Hadoop (ORCH) provides access to a Hadoop cluster from R, enabling manipulation of HDFS-resident data and the execution of MapReduce jobs. Conceptutally, MapReduce is similar...

Talk on quantiles at the R Montreal group

April 23, 2012
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This afternoon, I will be giving a two-hour talk at McGill on quantiles, quantile regressions, confidence regions, bagplots and outliers. Before defining (properly) quantile regressions, we will mention regression on (local) quantiles, as on the gr...

Puzzle: A path through pairs making squares

April 23, 2012
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Ted Harding posed an interesting puzzle challenge on the r-help mailing list recently. Here's the puzzle: Take the numbers 1, 2, 3, etc. up to 17. Can you write out all seventeen numbers in a line so that every pair of numbers that are next to each other, adds up to give a square number? You can figure out...

Tuning GAMBoost

April 23, 2012
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This post describes some of the simulation results which I obtained with the GAMBoost package. The aim of these simulations is to get a feel what I should tune and what I should not tune with GAMBoost. SetupIn the GAMBoost package one can tune qui...

Example 9.28: creating datasets from tables

April 23, 2012
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RThere are often times when it is useful to create an individual level dataset from aggregated data (such as a table). While this can be done using the expand.table() function within the epitools package, it is also straightforward to do directly within R.Imagine that instead of the individual level data, we had only the 2x2 table for the...

Quantitative palaeolimnology: my book chapters are finally out!

April 23, 2012
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Today I received confirmation that the delayed fifth volume in the Developments in Palaeoenvironmental Research series has been published. The book is titled Data Handling and Numerical methods, though it covers more of the latter and, IMHO, is far more interesting than … Continue reading →

Updates to the Emacs Starter Kit for the Social Sciences

April 23, 2012
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I've made some updates to the Emacs Starter Kit for the Social Sciences. The kit builds on Phil Hagelberg's original and Eric Schulte's org-mode version, and incorporates some packages and settings that are particularly useful for the social sciences. ...

Probit/Logit Marginal Effects in R

April 23, 2012
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The common approach to estimating a binary dependent variable regression model is to use either the logit or probit model. Both are forms of generalized linear models (GLMs), which can be seen as modified linear regressions that allow the dependent variable to originate from non-normal distributions. The coefficients in a linear regression model are marginal

A variance campaign that failed

April 23, 2012
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they ought at least be allowed to state why they didn’t do anything and also to explain the process by which they didn’t do anything. First blush One of the nice things about R is that new statistical techniques fall into it.  One such is the glasso (related to the statistical lasso) which converts degenerate … Continue reading...

Visualising the Path of a Genetic Algorithm

April 23, 2012
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We quite regularly use genetic algorithms to optimise over the ad-hoc functions we develop when trying to solve problems in applied mathematics. However it’s a bit disconcerting to have your algorithm roam through a high dimensional solution space while not being able to picture what it’s doing or how close one solution is to another. … Continue reading...

Quantitative palaeolimnology: my book chapters are finally out!

April 23, 2012
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Today I received confirmation that the delayed fifth volume in the Developments in Palaeoenvironmental Research series has been published. The book is titled Data Handling and Numerical methods, though it covers more of the latter and, IMHO, is far more interesting than the dry title would suggest (who gets excited by Data Handling? Well, one or two people perhaps...

April 22, 2012
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I came across a free source of Intraday Forex data while reading Forex Trading with R : Part 1 post. You can download either Daily or Hourly historical Forex data from the FXHISTORICALDATA.COM. The outline of this post: Download and Import Forex data Reference and Plot Intraday data Daily Backtest Intraday Backtest First,I created a