There are different algorithms to calculate the Principal Components (PCs). Kurt Varmuza & Peter Filzmozer explain them in their book: “Introduction to Multivariate Statistical Analysis in Chemometrics”.I´m going to apply one of them, to...
172 search results for "pca"
GARCH estimation using maximum likelihood
In my previous post I presented my findings from my finance project under the guidance of Dr Susan Thomas. The results in my paper suggested that there are macroeconomic variables, particularly the INR/USD exchange rates, that help us understand the dynamics of stock returns. Although the results that I obtained were significant at 5%...
Foreign Currencies and US 10y Treasury Yields
Since I explored the relationship between the Japanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central B...
New version of analogue (0.8-0)
Yesterday I pushed an update of my analogue package to CRAN. The new version is 0.8-0 and contains some new functions, several bug fixes and a major change arising from additions to R 2.14.x requiring all packages to have a … Continue reading →
Installing quantstrat from R-forge and source
R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector. Some common applications are to use R to analyze market data and evaluate quantitative trading strategies. Custom solutions are almost always the best way to do this, but the quantstrat package
The post Installing...
R in Axys (Impossible Dream)
It has always been a dream of mine to incorporate R graphs and analysis in an Advent Axys report. The unbelievable work from the guys at Statconn http://rcom.univie.ac.at/ make this dream possible. If we use the same perhstsp.rep created fo...
Optimization for Finance with R
Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on optimization, taught by R Core Group member Kurt Hornik (with Ronald Hochreiter and Stefan Theussl). Even if you couldn't make it to Austria to attend the course, the course materials are available online, and make an excellent...
NIPALS: Principal Components Analysis with "R" (Part: 002)
We started some posts based on the tutorials of:"Multivariate Statistical Analysis using the R package chemometrics"The first post was:Principal Components Analysis with "R" (Part: 001)Now we continue with a second part.The graphics help us to dec...
Top 20 R posts of 2011 (and some R-bloggers statistics)
R-bloggers.com is now two years young. The site is an (unofficial) online R journal written by bloggers who agreed to contribute their R articles to the site. In this post I wish to celebrate R-bloggers’ second birthmounth by sharing with you: Links to the top 20 posts of 2011 Statistics on “how well” R-bloggers did
Modelling returns using PCA : Evidence from Indian equity market
As my finance term paper, I investigated an interesting question where I tried to identify macroeconomic variables that explain the returns on equities. Much of the debate has already taken place on this topic which has given rise to two competing theo...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
