1656 search results for "Time series"

Example 9.19: Demonstrating the central limit theorem

January 11, 2012
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Example 9.19: Demonstrating the central limit theorem

A colleague recently asked "why should the average get closer to the mean when we increase the sample size?" We should interpret this question as asking why the standard error of the mean gets smaller as n increases. The central limit theorem shows t...

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Harmonic means, again again

January 9, 2012
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Harmonic means, again again

Another arXiv posting I had had no time to comment is Nial Friel’s and Jason Wyse’s “Estimating the model evidence: a review“. This is a review in the spirit of two of our papers, “Importance sampling methods for Bayesian discrimination between embedded models” with Jean-Michel Marin (published in Jim Berger Feitschrift, Frontiers of Statistical Decision

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Extreme Bond Returns

January 6, 2012
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Extreme Bond Returns

20 years of data is nowhere near enough to satisfy my insatiable appetite for bigger datasets.  While I showed Record Long Term Treasury Returns with Vanguard’s US Long Treasury mutual fund, its 20 year life is not sufficient to give me comfort ...

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Plotting Doctor Who Ratings (1963-2011) with R

January 3, 2012
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Plotting Doctor Who Ratings (1963-2011) with R

Introduction First day back to work after New Year celebrations and my brain doesn’t really want to think too much. So I went out for lunch and had a nice walk in the park. Still had 15 minutes to kill before my lunch break was over and so decided to kill some time with a quick web

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Voting Networks in the Danish Parliament

January 2, 2012
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Voting Networks in the Danish Parliament

One of my Christmas presents was the book Beautiful Visualization. Chapter 8 by Andrew Odewahn is a very nice piece on visualizing the U.S Senate social graph. Odewahn basically builds an affinity network, where ties represent whether two senator have ...

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R resources

January 2, 2012
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Earlier we spoke about PITCHfx resources, and now we will learn about R resources. Well, what is R? Straight from wikipedia:R is a programming language and software environment for statistical computing and graphics. The R lang...

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Monetary Policy & Credit Easing pt. 8: Econometrics Tests in R

January 2, 2012
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Hello, folks its time to cover some important econometrics tests you can do in R.The Akaike information criterion is a measure of the relative goodness of fit of a statistical model.  If you have 10 models and order them by AIC, the...

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Portfolio Optimization in R, Part 4 Redeux

January 2, 2012
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Portfolio Optimization in R, Part 4 Redeux

So where did we mess up? In the calculation of returns for the market cap weighted portfolio andthe portfolio optimization portfolio, we simply took the starting weights (W0)and multiplied them by the relevant series of returns.resEqual = as.matri...

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Portfolio Optimization in R, Part 4 Redeux

January 2, 2012
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Portfolio Optimization in R, Part 4 Redeux

So where did we mess up?  In the calculation of returns for the market cap weighted portfolio and the portfolio optimization portfolio, we simply took the starting weights (W0) and multiplied them by the relevant series of returns.resEqual = as.matrix(returns) %*% t(ret)andsubRes = as.matrix(subRes) %*% t(ret)To correct this, we have 2 options. Recalculate the weight at each time point assuming a starting weight. ...

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Monetary Policy & Credit Easing pt. 7: R Econometrics Tests

January 1, 2012
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In post 6 we introduced some econometrics code that will help those working with time-series to gain asymptoticly efficient results.  In this post we look at the different commands and libraries necessary for testing our assumptions and such. Testing our Assumptions and Meeting the Gauss-Markov TheoremIn this section we will seek to test and verify the assumptions of the simple linear...

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