1695 search results for "Time series"

Term structure of interest rate spread volatility : Unit root test

Term structure of interest rate spread volatility : Unit root test

Recently, I was working on my master's thesis and came across an interesting observation regarding the term structure of interest rate spread volatility that I wish to share. Let me first try and throw some light on the jargon that I have used. To begi...

Read more »

Online Course from Statistics.com: Advanced Programming in R

May 30, 2012
By

  Hadley Wickham teaches “Programming in R – Advanced,” June 15 – July 13 online at Statistics.com. This is the third in a series of courses that cover programming in R, so if you are new to the subject you should start with our Jul 27 course “Introduction to R: Data Handling.” Upcoming Courses: Jun 15:  Advanced Programming in R...

Read more »

Project Euler — problem 5

May 30, 2012
By

I spent around 40 minutes on the last post yesterday, which delayed my bedding time and caused my sleepiness in the morning. So, I’m starting to write earlier tonight. The fifth problem is to calculate the smallest composite for given numbers. 2520 is … Continue reading →

Read more »

R 2.15.1 scheduled for June 22

May 30, 2012
By

The next release of open-source R, codenamed "Roasted Marshmallows", is scheduled to be released on June 22, according to this announcement on the r-announce mailing list. Don't expect too many changes in this update: despite the fact that "there have been very few issues with 2.15.0 ... some people may be waiting superstitiously for a .1 release". This will...

Read more »

ABC+EL=no D(ata)

May 27, 2012
By
ABC+EL=no D(ata)

It took us a loooong while but we finally ended up completing a paper on ABC using empirical likelihood (EL) that was started by me listening to Brunero Liseo’s tutorial in O’Bayes-2011 in Shanghai… Brunero mentioned empirical likelihood as a semi-parametric technique w/o much Bayesian connections and this got me thinking

Read more »

A complete Bayesian model for sensory profiling data

May 22, 2012
By
A complete Bayesian model for sensory profiling data

In this post I will try to add an important parts in the sensory profiling model I have been building. This concerns the question: 'Are all panelists equally reproducible?'. Obviously the answer is no, some are better than others. From this observation...

Read more »

CFP: the 10th Australasian Data Mining Conference (AusDM 2012)

May 20, 2012
By
CFP: the 10th Australasian Data Mining Conference (AusDM 2012)

The Tenth Australasian Data Mining Conference (AusDM 2012) Sydney, Australia 5-7 December 2012 http://ausdm12.togaware.com/ Data mining, the art and science of intelligent analysis of (usually large) data sets for meaningful (and previously unknown) insights, is now being actively applied in … Continue reading →

Read more »

Another cut at market randomness

May 20, 2012
By
Another cut at market randomness

I have some background in computer security and one day found myself tasked with assessing the quality of randomness for session id tokens generated by popular web frameworks (namely Java and .NET). As it turns out, NIST have developed a series of tests for just this purpose detailed here.As a non-believer in the absolute randomness of markets, I thought...

Read more »

garch() uncertainty

May 16, 2012
By
garch() uncertainty

As part of an on-going paper with Kerrie Mengersen and Pierre Pudlo, we are using a GARCH(1,1) model as a target. Thus, the model is of the form which is a somehow puzzling object: the latent (variance) part is deterministic and can be reconstructed exactly given the series and the parameters. However, estimation is not

Read more »

Global Homicide Rates by Government Type

May 16, 2012
By
Global Homicide Rates by Government Type

Surprising results For purposes of this article, any mention of homicide rates refers to reported homicide rates. Open vs Closed In mostly open countries (full democracies), the homicide rates are rather low when compared to other types of...

Read more »