> data(gasoline)> #60 spectra of gasoline (octane is the constituent) > #We divide the whole Set into a Train Set and a Test Set.> gasTrain<-gasoline> gasTest<-gasoline> #Let´s develop the PLSR with the Tain Set ...

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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%...

Summer Program In Data Analysis (SPIDA): May 24th – June 1st, 2012 In its thirteenth season this year, ISR’s Summer Program in Data Analysis focuses on linear models, beginning with “standard” regression through generalized linear models, and extending to mixed or multilevel models, linear and non-linear and generalized, which incorporate two or more hierarchical levels of data or longitudinal...

If you can write the likelihood function for your model, MHadaptive will take care of the rest (ie. all that MCMC business). I wrote this R package to simplify the estimation of posterior distributions of arbitrary models. Here’s how it works: 1) Define your model (ie the likelihood * prior). In this example, lets build

In Chapter 6 (correlation and covariance) I consider how to construct a confidence interval (CI) for the difference between two independent correlations. The standard approach uses the Fisher z transformation to deal with boundary effects (the squashing of the distribution and increasing asymmetry as r approaches -1 or 1). As zr is approximately normally distributed

This is the second post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Fundamental Data, and I will show how to build Fundamental factors described in the CSFB Alpha Factor Framework. For details of the CSFB Alpha Factor Framework please read

Ventana Research analyst David Menninger was on the judging panel for the Applications of R in Business contest. In a post on the Ventana research blog, he offers his perspectives on the contest, noting that R, as a statistical package, includes many algorithms for predictive analytics, including regression, clustering, classification, text mining and other techniques. The contest submissions supported...