Commodity Index Estimators

May 2, 2011
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Commodity Index Estimators

In this post I will show my first try at a commodity index substitute.  Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data.  I hav...

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Ecological SEMs and Composite Variables: What, Why, and How

May 2, 2011
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Ecological SEMs and Composite Variables: What, Why, and How

I’m a HUGE fan of Structural Equation Modeling. Heck, I’ve even begun teaching short SEM workshops. (seriously, if you want, email me and we’ll talk). For those of you unfamiliar with the technique, it’s awesome for three main reasons. It’s a method of teasing apart direct and indirect interactions in your data. It allows you

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First Answer to My Own Question-Combine LSPM and Mahalanobis

May 2, 2011
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First Answer to My Own Question-Combine LSPM and Mahalanobis

I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend.  You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages.  I hate that I coul...

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ARMA Models for Trading, Part III

May 2, 2011
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ARMA Models for Trading, Part III

In the last post I showed how to pick the parameters for the ARMA model. The next step is to determine the position at the close. One way to do that is by a one day ahead prediction, if the prediction comes negative (remember the series we are operating on is the daily returns) then

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Commodities vs. commodity stocks

May 2, 2011
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Commodities vs. commodity stocks

Introducing R in the Enterprise

May 2, 2011
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Introducing R in the Enterprise

We've introduced R in the organization!It is running along with the heavy weights of statistical analysis like SAS, SPSS, Matlab. Here's what we did and how we did it...HOW DID IT START?I started learning R last year and loved its simplicity and power....

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Introducing R in the Enterprise

May 2, 2011
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Introducing R in the Enterprise

We've introduced R in the organization!It is running along with the heavy weights of statistical analysis like SAS, SPSS, Matlab. Here's what we did and how we did it...HOW DID IT START?I started learning R last year and loved its simplicity and power....

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Review of the R Cookbook

May 2, 2011
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While we were at R/Finance in Chicago over the weekend (more on that later), it was a great pleasure to meet in person Paul Teetor, author of the R Cookbook (published by O'Reilly). If you haven't picked it up yet, I recommend checking it out: if you already have a basic familiarity of the R syntax, but want to...

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R/Finance conference in Chicago – April 29, 2011 to April 30, 2011

May 2, 2011
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This was my first year to attend the R/Finance conference that focuses on the use R programming in applied finance.  I was unable to get out there until mid-morning on Friday, so I missed Jeff Ryan’s tutorial on Automated Trading … Continue reading →

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Oscar awards: good actor versus good actress

May 2, 2011
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Oscar awards: good actor versus good actress

I am not a big fan of those ceremonies, where some actors pretend that they are extremely happy to be there, and then some win a trophy, some don't, and those who win start to cry, and those who did not get a trophy try to pretend that they are not...

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Unicode symbols in R

May 2, 2011
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Unicode symbols in R

A friend asked me this morning if there was a way to plot a symbol in R (as a plotting character) representing a half-filled circle. I didn't know, but I figured this out (perhaps it's demonstrated elsewhere -- the ability to use Unicode symbols was added in 2008 or so -- but I didn't stumble across it). First, looking...

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Unicode symbols in R

May 2, 2011
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Unicode symbols in R

A friend asked me this morning if there was a way to plot a symbol in R (as a plotting character) representing a half-filled circle. I didn't know, but I figured this out (perhaps it's demonstrated elsewhere -- the ability to use Unicode symbols was added in 2008 or so -- but I didn't stumble across it). First, looking...

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Home Away From Home

May 2, 2011
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Home Away From Home

It used to be stuffed animals everywhere. These days, it's those annoyingly small lego pieces. Toys in the house have a certain Tribble quality to them. They propagate during some designated time in the middle of the night and in the morning, they are ...

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Sustainable Futures conference in Manchester

Sustainable Futures conference in Manchester

Recently, Kevin Ummel gave a short conference about his PhD research at the Sustainable futures – Tyndall Centre researchers’ international conference. His work, named “Optimizing worldwide deployment of wind and solar power technologies via a high resolution, linear programming model”, is built with R. He is using the solaR package for the solar irradiance calculations,

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Postdoc on adaptive MCMC in Paris

May 2, 2011
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Postdoc on adaptive MCMC in Paris

Although the official deadline is long past, I just became aware of this call for a postdoctoral position in Paris starting next Fall. Please feel free to apply: Summary Adaptive Markov Chain Monte Carlo (MCMC) methods are currently a very active field of research. MCMC methods are sampling methods, based on Markov Chains which are

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Day #32-33 reporting, R and Birt

May 2, 2011
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I’m starting on my real R-Scripts now. We got an assesment for some Reports and they needed my graphs and Veerle’s Reports. So the tasks are: Well distribution plot Quality plate control Surface Plot Heatmap CirclePlot and more to come&#823...

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Building R packages for Windows when you don’t use it.

May 2, 2011
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Are you a non-windows user wanting to share your R package with others who do use windows? There's a handy utility (http://win-builder.r-project.org/)that allows you to upload your .tar.gz file and it checks it, builds it, and sends you a link to downl...

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Building R packages for Windows when you don’t use it.

May 2, 2011
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Are you a non-windows user wanting to share your R package with others who do use windows? There's a handy utility (http://win-builder.r-project.org/)that allows you to upload your .tar.gz file and it checks it, builds it, and sends you a link to downl...

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"Inside" Functors — Evaluating things more than once

May 1, 2011
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"Inside" Functors — Evaluating things more than once

(The examples here work with the version of insidefunctor tagged as "v1") I ran into an interesting problem using "inside" functors. Something is wrong in the following code (well, depending on what you thought it should do). > library(insidefunctor) > `%+.%` = fmap(`+`) > x = seq(0, 10, len = 50) > plot(x,...

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The R Inferno revised

May 1, 2011
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The R Inferno revised

Hell is new and improved. The R Inferno has been revised.  If you don’t know of it, it is a short explanation of a few trouble spots when using the R language.  Somehow the short explanation grew to approach book-length. It can be found at the usual place: http://www.burns-stat.com/pages/Tutor/R_inferno.pdf Major improvements An index has been … Continue reading...

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Here comes the sun

Here comes the sun

The solar irradiance incident outside the earth’s atmosphere is called the extraterrestial or extra-atmospheric irradiance. It is derived from the solar constant only with geometric equations. It can be easily calculated with the calcSol function of the solaR package. With this post I will show an example with some packages from the Spatial task view.

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Bayesian Confidence Intervals: Obama’s ‘That’-Addition and Informality

May 1, 2011
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Bayesian Confidence Intervals: Obama’s ‘That’-Addition and Informality

No “That” Left Behind? I came across a post on Language Log last week giving some evidence that Obama tends to add that to the prepared version of his speeches. For example, in a recent speech at George Washington University, … Continue reading →

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Some rediscovered R scripts from spring cleaning

May 1, 2011
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Some rediscovered R scripts from spring cleaning

Gompertz Model Visualization # Gomperz growth function gomp <- function(x, a, b, k) a*exp(-b*exp(-k*x))   # Normal model with Gompertz mean function likelihood <- function(weight, age, sigma, a, b, k) { mu <- gomp(age, a, b, k) dnorm(weight, mu, sigma) }   # Visualize the model visualize <- function(phi=40, theta=-35) { weight <- seq(0, 250,

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Schelling’s Neighborhood Model

April 30, 2011
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Schelling’s Neighborhood Model

The New York Times has created a beautiful visualization of the Census Bureau's 2005-2009 American Community Survey data. The distribution of racial and ethnic groups in New York City is particularly fascinating:Chinatown appears in red toward the sou...

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Produce Authentic Math Formulas in R Graphics

April 30, 2011
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Produce Authentic Math Formulas in R Graphics

I remember a few weeks ago, there was a challenge in the R-help list to make the prime symbol in R graphics. In LaTeX, we simply write $X'$ or $X^\prime$. R has a rough support for math expressions (see demo(plotmath)) and they are certainly unsatisfactory for LaTeX users. In fact we can write native LaTeX

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Hofstader’s Chaotic Sequence

April 30, 2011
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Hofstader’s Chaotic Sequence

About a year ago I was reading Godel, Escher, Bach by Douglas Hofstadter. In a section on recursion he presents a sequence that he calls "A Chaotic Sequence" defined as:Q(n) = Q(n - Q(n - 1)) + Q(n - Q(n - 2)) for n > 2Q(1) = Q(2) =1It's sim...

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Visualizing Terrain Surface Indicies with Scaled Arrows

April 30, 2011
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Visualizing Terrain Surface Indicies with Scaled Arrows

Hamish Bowman recently posted a new GRASS module (d.barb) that can be used to depict the direction and magnitude components of some vector (e.g. wind field) along a raster surface or at points in space. An example (c/o Hamish): read more

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Bootstrap Confidence Intervals for Diversity Indices

April 30, 2011
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Bootstrap Confidence Intervals for Diversity Indices

Here's the bootstrap refinement of the normal asymptotic interval (Mills and Zandvakili, 1997; Dixon et al., 1987; Efron and Tibshirani, 1997) - where Diversity (div, g) is the Simpson Index calculated from the observed sample, k is the number boot...

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Produce Authentic Math Formulas in R Graphics

April 30, 2011
By
Produce Authentic Math Formulas in R Graphics

I remember a few weeks ago, there was a challenge in the R-help list to make the prime symbol in R graphics. In LaTeX, we simply write $X'$ or $X^\prime$. R has a rough support for math expressions (see demo(plotmath)) and they are certainly unsatisfac...

Read more »