## Bootstrap Confidence Intervals for Diversity Indices

April 30, 2011
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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...

## Produce Authentic Math Formulas in R Graphics

April 30, 2011
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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...

## Friday function triple bill: with vs. within vs. transform

April 29, 2011
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When you first learnt about data frames in R, I’m sure that, like me, you thought “This is a lot of hassle having to type the names of data frames over and over in order to access each column”. library(MASS) anorexia$wtDiff <- anorexia$Postwt - anorexia\$Prewt #I have to type anorexia how many times? Indeed, any

## Another Use of LSPM in Tactical Portfolio Allocation

April 29, 2011
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After the slightly unconventional use of LSPM presented in Slightly Different Use of Ralph Vince’s Leverage Space Trading Model, I thought I should follow up with something that more closely resembles my interpretation of Ralph Vince’s book. LSPM s...

## Rcpp Workshop slides

April 29, 2011
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Dirk and I gave a full day Rcpp workshop yesterday in Chicago before the R in Finance conference. The pdfs of the slides are available here: part 1 (intro), part 2 (details), part 3 (modules) and part 4 (applications)

## Rcpp Workshop slides

April 29, 2011
By

Dirk and I gave a full day Rcpp workshop yesterday in Chicago before the R in Finance conference. The pdfs of the slides are available here: part 1 (intro), part 2 (details), part 3 (modules) and part 4 (applications)

## Parallelizing and cross-validating feature selection in R

April 29, 2011
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This is an example piece of code for the Overfitting competition at kaggle.com. This method has an AUC score of ~.91, which is currently good enough for about 38th place on the leaderboard. If you read the completion forums closely, you will find code...

## Gartner: Revolution Analytics a "Cool Vendor" for BI

April 29, 2011
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Leading analyst firm Gartner has just published its "Cool Vendors in Analytics and Business Intelligence" report for 2011 (download it here if you have a Gartner subscription). In the report, Revolution Analytics is named a Gartner Cool Vendor, and recognizes the company as "innovative, impactful and intriguing": Driven in part by the rise of big data, business intelligence (BI)...

## RStudio is good for you

April 29, 2011
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I was recently introduced to RStudio, a new integrated development environment for R, it is just amazing! It is free, and open, compatible with PC/Mac/Linux OSs. You can also choose to run it in the cloud, and access it from your favorite web browser. As you can see, the window divides into four in a

## Example 8.36: Quadratic equation with real roots

April 29, 2011
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We often simulate data in SAS or R to confirm analytical results. For example, consider the following problem from the excellent text by Rice:Let U1, U2, and U3 be independent random variables uniform on . What is the probability that the roots...

## Slides from Rcpp workshop / master class yesterday

April 29, 2011
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Romain and I just posted our slides from yesterday's Rcpp workshop and class (preceding the now-ongoing R/Finance conference). You can access the slides via my presentation page, or directly from here as Part 1 (Introduction), Part 2 (Details), Part ...

## Forming Formulas

April 29, 2011
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One of the first functions a new R user learns how to use is the lm() command, which involves stating the model formula.lm(y~x1+x2, data=mydata)After a while, this just becomes a natural way to say "I want a regression of y on x1 and x2 using mydata." ...

## Forming Formulas

April 29, 2011
By

One of the first functions a new R user learns how to use is the lm() command, which involves stating the model formula.lm(y~x1+x2, data=mydata)After a while, this just becomes a natural way to say "I want a regression of y on x1 and x2 using mydata." ...

## RStudio

April 29, 2011
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As has been discussed on various blogs the RStudio interface to R has been released. It is definitely worth checking out as it has the potential to improve the user experience for R.

## ggplot2 – First impressions

April 29, 2011
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I was reading various R blogs and saw very nice looking plots created with ggplot2 package. Especially this blog was useful because of link to a very interesting book about ggplot2. I want to display and update the latest co-integrated pairs every day ...

## Easy way to get yield curve : what you need is only "FRBData" package !

April 28, 2011
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I made FRBData package and registerd it on CRAN.This package allow you to download financial data from FRB's website.This website provide many economical data such as consumer credit, money stock.This article show you how to use this package.(But, it has only a function about interest rate now.　I will create other functions to download other macro-economical data in next version.)First,...

## Easy way to get yield curve : what you need is only "FRBData" package !

April 28, 2011
By

I made FRBData package and registerd it on CRAN.This package allow you to download financial data from FRB's website.This website provide many economical data such as consumer credit, money stock.This article show you how to use this package.(But, it has only a function about interest rate now.　I will create other functions to download other macro-economical data in next version.) First,...

## Processing nested lists

April 28, 2011
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So perhaps you have all figured this out already, but I was excited to figure out how to finally neatly get all the data frames, lists, vectors, etc. out of a nested list. It is as easy as nesting calls to the apply family of functions, in the case bel...

## Slightly Different Use of Ralph Vince’s Leverage Space Trading Model

April 28, 2011
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In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we c...

## Fit Sigmoid Curve with Confidence Intervals

April 28, 2011
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Sigmoid curve fitting for transpiration measurements from porometer at different water potentials (pressure):Read more »

## Google Summer of Code Student Project Wins Statistical Software Award

April 28, 2011
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We are happy to report that one of the Google Summer of Code students from last year, Ian Fellows, has been awarded the John M. Chambers Statistical Software Award for his work with the R Project. This award will be presented at the annual Joint Statistical Meeting in August.Ian’s project involved extending...

## Google Summer of Code Student Project Wins Statistical Software Award

April 28, 2011
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We are happy to report that one of the Google Summer of Code students from last year, Ian Fellows, has been awarded the John M. Chambers Statistical Software Award for his work with the R Project. This award will be presented at the annual Joint Statistical Meeting in August. Ian’s project involved extending...

## Importing RDF input in R for analysis

April 28, 2011
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August last year I asked on BioStar about how to import RDF into the R statistical package and at the time nothing seemed existing. Over the past few weeks I ported code I wrote for Bioclipse to create the rrdf package for R, which is now available fro...

## Can you do better than cap-weighted equity benchmarks?

April 28, 2011
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We're on our way to Chicago for the annual conference for R users in Finance, R/Finance 2011. Revolution Analytics is proud to once again sponsor this conference, and during the sponsor lunch session at noon on Saturday, we're honoured to have Guy Yollin show how the big-data capabilities of Revolution R Enterprise can be used for quantitative finance. Here...

## Data Aggregation in R: plyr, sqldf and data.table

April 28, 2011
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I’ve also previously put up a couple of posts about aggregating data in R. In this post, I’m going to be trying some other alternative methods for aggregating the dataset. Before I begin, I’d like to thank Matthew Dowle for highlighting these to me. It’s a bit daunting at first, deciding which method of aggregating data is

## Day #30-31 errorbars here, errorbars there

April 28, 2011
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Today I have been playing with the errorbars from knime. To recreate the plot from http://flyordie.sin.khk.be/2011/04/20/day-27-a-lot-of-graphics-in-one-place/ I had to be able to create 2 y-axis, and multiple plots on 1 graph. At the end of the day I ...

## Job Search Part 5: It’s Policy Time!

April 27, 2011
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This is the last post of this special mini-series on the job search and matching theory of unemployment. I will probably be extremely distracted for the next few months, including a month-long vacation in Europe to shake the horrors of undergrad off me...

## “Inside” Functors — Multiple Arguments

April 27, 2011
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Again for HTML reasons this has been taken to http://strugglingthroughproblems.blogspot.com/2011/04/inside-functors-multiple-arguments.html