Model selection is a process of seeking the model in a set of candidate models that gives the best balance between model fit and complexity (Burnham & Anderson 2002). I have always used AIC for that. But you can also…Read more →

Many students struggle to find an adequte format for their thesis. Ironically the advent of “modern” WYSIWYG programms seems to make it harder to consistently format a text. While learning LaTeX may be a bit too much to ask for, markdown is a very minimal language that together with pandoc affords all typesetting needs for

I love using tikzDevice. When preparing LaTeX documents I switched to prepare all graphs in GNU R and then port them to TeX using tikzDevice. Recently I have moved to GNU R 3.0.0 and was shocked to find that this package is no longer available on CRAN....

Integrating Documentation and Calculation Integrating Documentation and Calculation This post is a first in that I've authored it using RStudio. I would guess most people who work in computational finance or quantitative risk are at least familiar with R. Unfortunately R as...

Every once in a while I encounter a problem that requires the use of calculus. This can be quite bothersome since my brain has refused over the years to retain any useful information related to calculus. Most of my formal training in the dark arts was completed in high school and has not been covered

Introduction Recently, I introduced the golden search method – a special way to save computation time by modifying the bisection method with the golden ratio, and I illustrated how to minimize a cusped function with this script. I also wrote an R function to implement this method and an R script on how to apply this

Introduction The first algorithm that I learned for root-finding in my undergraduate numerical analysis class (MACM 316 at Simon Fraser University) was the bisection method. It’s very intuitive and easy to implement in any programming language (I was using MATLAB at the time). The bisection method can be easily adapted for optimizing 1-dimensional functions with

e-mails with the latest R posts.

(You will not see this message again.)