1422 search results for "regression"

More on Factor Attribution to improve performance of the 1-Month Reversal Strategy

July 26, 2012
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More on Factor Attribution to improve performance of the 1-Month Reversal Strategy

In my last post, Factor Attribution to improve performance of the 1-Month Reversal Strategy, I discussed how Factor Attribution can be used to boost performance of the 1-Month Reversal Strategy. Today I want to dig a little dipper and examine this strategy for each sector and also run a sector-neutral back-test. The initial steps to

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Plotting 95% Confidence Bands in R

July 24, 2012
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Plotting 95% Confidence Bands in R

I am comparing estimates from subject-specific GLMMs and population-average GEE models as part of a publication I am working on. As part of this, I want to visualize predictions of each type of model including 95% confidence bands. First I … Continue reading →

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What’s wrong with LOESS for palaeo data?

July 24, 2012
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What’s wrong with LOESS for palaeo data?

Locally weighted scatterplot smoothing (LOWESS) or local regression (LOESS) is widely used to highlight “signal” in variables from stratigraphic sequences. It is a user-friendly way of fitting a local model that derives its form from the data themselves rather than having … Continue reading →

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What’s wrong with LOESS for palaeo data?

July 24, 2012
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What’s wrong with LOESS for palaeo data?

Locally weighted scatterplot smoothing (LOWESS) or local regression (LOESS) is widely used to highlight “signal” in variables from stratigraphic sequences. It is a user-friendly way of fitting a local model that derives its form from the data themselves rather than having to be specified a priori by the user. There are generally two things that a user has...

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RcppGSL 0.2.0

July 23, 2012
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Earlier today, a minor update / maintenance release of RcppGSL---our interface package between R and the GNU GSL using our Rcpp package for seamless R and C++ integration---arrived on on CRAN. It contains a number of minor changes to accomodate chan...

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Music Data Hackathon 2012 – Beginner’s view

July 23, 2012
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Music Data Hackathon 2012 – Beginner’s view

When I first heard of the existence of Hackathons (receive a data set, predict the response as good as possible, win money. All within 24 hours), I had two thoughts:1. Wow, that sounds greats. Like a huge game for intelligent people.2. My skills are no...

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Modeling Trick: Impact Coding of Categorical Variables with Many Levels

July 23, 2012
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Modeling Trick: Impact Coding of Categorical Variables with Many Levels

One of the shortcomings of regression (both linear and logistic) is that it doesn’t handle categorical variables with a very large number of possible values (for example, postal codes). You can get around this, of course, by going to another modeling technique, such as Naive Bayes; however, you lose some of the advantages of regression Related posts:

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Third year wrap-up

July 23, 2012
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Third year wrap-up

July marks the end of three years of blogging for us. By our count, we've posted 121 examples across the first three years. We aim to be helpful and interesting.As always, it's hard to get a sense of our readership. At the time we wrote this, Feedbur...

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London Olympics and a prediction for the 100m final

July 22, 2012
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London Olympics and a prediction for the 100m final

It is less than a week before the 2012 Olympic games will start in London. No surprise therefore that the papers are all over it, including a lot of data and statistis around the games. The Economist investigated the potential financial impact on spons...

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Automatic Hyperparameter Tuning Methods

July 20, 2012
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At MSR this week, we had two very good talks on algorithmic methods for tuning the hyperparameters of machine learning models. Selecting appropriate settings for hyperparameters is a constant problem in machine learning, which is somewhat surprising given how much expertise the machine learning community has in optimization theory. I suspect there’s interesting psychological and

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