Rob Hyndman has a great post on his blog with example on how to cross-validate a time series model. The basic concept is simple: You start with a minimum number of observations (k), and fit a model (e.g. an arima model) to those observation...

Converting HTML to plain text usually involves stripping out the HTML tags whilst preserving the most basic of formatting. I wrote a function to do this which works as follows (code can be found on github): The above uses an XPath approach to achieve it’s goal. Another approach would be to use a regular expression. These

The Black-Litterman Model was created by Fisher Black and Robert Litterman in 1992 to resolve shortcomings of traditional Markovitz mean-variance asset allocation model. It addresses following two items: Lack of diversification of portfolios on the mean-variance efficient frontier. Instability of portfolios on the mean-variance efficient frontier: small changes in the input assumptions often lead to

Once you become addicted to chess game analysis, it becomes very easy to swamp yourselves with questions regarding different aspects of the game. Testing out different hypothesis like preference of mobility versus positional advantage requires a bit of manual chess game mining, which could potentially be analyzed using R. With the help of websites like

We're proud to announce the latest update to the enhanced, commercial-grade distribution of R, Revolution R Enterprise 5.0. With each new release, Revolution R Enterprise adds more capabilities to open-source R, to make R users more productive, to improve performance of R programs, to support Big Data analytics, and to provide servers and APIs for enterprise deployment. New features...

I have become quite a big fan of graphics that combine the features of traditional figures (e.g. bar charts, histograms, etc.) with tables. That is, the combination of numerical results with a visual representation has been quite useful for exploring descriptive statistics. I have wrapped two of my favorites (build around ggplot2) and included them as part

Here's a cool application of calendar heat maps: runner Andy used R to catalogue his daily running mileage over the last 2+ years: There are lots of ways to chart data like this (a simple time-series chart, for example), but sometimes looking at data in new ways offers fresh perspectives. For example, Andy notes: "Apparently I missed running on...

Small changes in the input assumptions often lead to very different efficient portfolios constructed with mean-variance optimization. I will discuss Resampling and Covariance Shrinkage Estimator – two common techniques to make portfolios in the mean-variance efficient frontier more diversified and immune to small changes in the input assumptions. Resampling was introduced by Michaud in Efficient