MAT8886 elliptically contoured distributions

February 15, 2012
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MAT8886 elliptically contoured distributions

(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers) Last week, we've introduced the concept of exchangeable variables, i.e. satisfying for any matrix  , i.e. is a permutation matrix: belongs to the orthogonal group, , and with elements in . It is possible to extend that family, considering all matrices in the...

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AMIS on-line!

February 15, 2012
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AMIS on-line!

After many delays and exchanges of emails, our AMIS paper with Jean-Marie Cornuet, Jean-Michel Marin and Antonietta Mira eventually made it into the Scandinavian Journal of Statistics. I am quite glad it is now published as it will publicize the method...

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If you have to use circles…

February 15, 2012
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If you have to use circles…

Stats Chat is an interesting kiwi site—managed by the Department of Statistics of the University of Auckland—that centers around the use and presentation of statistics in the media. This week there was an interesting discussion on one of those infographics … Continue reading →

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Beware the Friedman test!

February 14, 2012
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Beware the Friedman test!

In section 10.4.4 of Serious stats (Baguley, 2012) I discuss the rank transformation and suggest that it often makes sense to rank transform data prior to application of conventional ‘parametric’ least squares procedures such as t tests or one-way ANOVA. There are several advantages to this approach over the usual approach (which involves learning and applying a new test such as Mann-Whitney U,

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Introduction to R for software developers and data analysts

February 14, 2012
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If you're in the San Francisco Bay Area on March 10, the ACM organizing a course on R that you might want to check out. Robert Kabacoff, author of the useful Quick-R website and the book R in Action, will present the course "An introduction to R for software developers and data analysts". The course is sponsored by Revolution...

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Pricing defaultable discount bond with reduced form model

February 14, 2012
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Pricing defaultable discount bond with reduced form model

I often use R language to write "prototype" program. As you know, It has very high productivity and smart grammar. In this article, I would like to show you how to write the program to evaluate the price of defaultable bond by "reduced-form model".Before write a program, we need to understand how to price these bond.Under risk neutral measure, we can...

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R for Quants, Part I (B)

February 13, 2012
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R for Quants, Part I (B)

This is a continuation of the R workshop I’m teaching at the Baruch MFE program. This section discusses the programming …Continue reading »

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what does object oriented statistical programming really mean?

February 13, 2012
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(This article was first published on twotorials by anthony damico, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: twotorials by anthony damico. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL,...

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how to use the c (combine) function

February 13, 2012
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(This article was first published on twotorials by anthony damico, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: twotorials by anthony damico. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL,...

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R 2.14.2 and R 2.15.0 coming soon

February 13, 2012
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The R core group has announced release dates for the next two versions of R (with their code names): 2.14.2 "Gift-Getting Season" on Feb 29 (3rd anniversary of R-1.0.0!) 2.15.0 "Easter Beagle" on Mar 30 R 1.0.0 was released twelve years ago on February 29, 2000; this will be the third February 29 since then. (Hence Peter Dalgaard's little...

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RStudio in the cloud, for dummies

February 13, 2012
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RStudio in the cloud, for dummies

You can have your own cloud computing version of R, complete with RStudio. Why should you? It's cool! Plus, there's a lot more power out there than you can easily get on your own hardware. And, it's R in a web page. Run it from your tablet. Run i...

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In case you missed it: January Roundup

February 13, 2012
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In case you missed them, here are some articles from January of particular interest to R users. Sponsorships from Revolution Analytics are now available for local R user groups in 2012. The winners of the Applications of R in Business Contest have been announced. The coefplot package visualizes model coefficients and standard errors in a line chart. Revolution Analytics...

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Statistics on the length and linguistic complexity of bills

February 13, 2012
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Statistics on the length and linguistic complexity of bills

  Where would you go to find out what the longest bill of the 112th Congress was by number of sections (H. R. 1473)?  How about by number of unique words (H.R. 3671)?  What about by Flesh-Kincaid reading level  (S. … Continue reading →

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A slice of S&P 500 kurtosis history

February 13, 2012
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A slice of S&P 500 kurtosis history

How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird.  The original idea was of peakedness — how peaked is the distribution at the center.  That’s what we can see, … Continue reading...

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Multiple Factor Model – Building CSFB Factors

February 12, 2012
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Multiple Factor Model – Building CSFB Factors

This is the third post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Building Fundamental Factors, and I will show how to build majority of factors described in the CSFB Alpha Factor Framework. For details of the CSFB Alpha Factor Framework

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Data Exploration – Gold vs Gold Mining Stocks

February 12, 2012
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Data Exploration – Gold vs Gold Mining Stocks

I have been looking into time series analysis with R.  I'm still ramping up the learning curve as I am very accustomed to SAS/ETS.  With ETS, everything is in a couple of procedures, I know where and how to get things done.  In R, things...

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R and presentations: a basic example of knitr and beamer

February 12, 2012
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Manually combining R code and a presentation can be quite a pain. Luckily, using tools like odfWeave, Sweave and knitr, integrating documents and R code is quite painless. In this post I want to take a look at combining the… See more ›

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Write data (frame) to Excel file using R package xlsx

February 12, 2012
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Write data (frame) to Excel file using R package xlsx

Writing to Excel files comes up rather often, especially if you’re collaborating with non-OSS users. There are several options, but I like the xlsx package way of doing things. Authors use Java to write to Excel files, which are basically compressed XML files. Alright, let’s get cracking. First, let’s create some data. If you don’t

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The R-Podcast Episode 1: Introduction

February 12, 2012
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Here is the inaugural episode of the R-Podcast! In this episode, I take a few minutes to introduce myself and to explain the main goals of this podcast. I also define what R is and give an overview of R’s history of development and features that distinguish it from other statistical software. Please feel free

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Elegant & fast data manipulation with data.table

February 12, 2012
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Elegant & fast data manipulation with data.table

Just learned about the R data.table package (ht @recology_) makes R data frames into ultra-fast, SQL-like objects. One thing we get is some very nice and powerful syntax. Consider some simple data of replicate time series: To apply a function to each set of replicates, instead of We can use: Note that we could have

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Unsupervised Image Segmentation with Spectral Clustering with R

February 12, 2012
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Unsupervised Image Segmentation with Spectral Clustering with R

That title is quite a mouthful. This quarter, I have been reading papers on Spectral Clustering for a reading group. The basic goal of clustering is to find groups of data points that are similar to each other. Also, data points in one group should be ...

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R for Quants, Part I.A

February 12, 2012
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R for Quants, Part I.A

I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on …Continue reading »

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"R" PLS Package: Multiple Scatter Correction (MSC)

February 12, 2012
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"R" PLS Package: Multiple Scatter Correction  (MSC)

MSC (Multiple Scatter Correction) is a Math treatment to correct the scatter in the spectra. The scatter is produced for different physical circumstances as particle size, packaging.Normally scatter make worse the correlation of the spectra with the constituent of interest.Almost all the chemometric software’s available include this math treatment and of course “R” have it as well in the...

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Machine Learning Examples in R

February 12, 2012
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Machine Learning Examples in R

This is a post that has been a long time in the making. Following on from the excellent Stanford Machine Learning Course I have made examples of the main algorithms covered in R.We have Linear RegressionFollowed by Neural NetworksAnd Support ...

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Classifying Breast Cancer as Benign or Malignant Using RTextTools

RTextTools has largely been used for topic classification in the social sciences. However, recent discussions with researchers at various universities have demonstrated that the package can be applied to a host of problems in the natural sciences as well.One such application is using text classification to identify breast cancer masses as benign or malignant. Using the Wisconsin Diagnostic Breast Cancer...

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Classifying Breast Cancer as Benign or Malignant Using RTextTools

RTextTools has largely been used for topic classification in the social sciences. However, recent discussions with researchers at various universities have demonstrated that the package can be applied to a host of problems in the natural sciences as well.One such application is using text classification to identify breast cancer masses as benign or malignant. Using the Wisconsin Diagnostic Breast Cancer...

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piecewise regression

February 11, 2012
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piecewise regression

A beta of a stock generally means its relation with the market, how many percent move we should expect from the stock when the market moves one percent. Market, being a somewhat vague notion is approximated here, as usual, using … Continue reading →

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Generating directed Watts-Strogatz network

February 11, 2012
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Generating directed Watts-Strogatz network

There are two limitations of Watts-Strogatz network generator in igraph package: (1) it works only for undirected graphs and (2) rewiring algorithm can produce loops or multiple edges.You can use simplify function of such a graph, but then number of ed...

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R jags rjags on an ec2 instance

February 11, 2012
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Winbugs and Jags free Item Response Theory from the dot matrix plots of proprietary software and open up a multicoloured world of posterior predictive model checking. Fitting IRT models using brute force is not for the impatient, however. That’s why, just as early psychometricians shipped off their calculations to teams of monks. I’ve shipped off my model fitting to...

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