1782 search results for "time series"

Historical Value at Risk versus historical Expected Shortfall

November 18, 2013
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Historical Value at Risk versus historical Expected Shortfall

Comparing the behavior of the two on the S&P 500. Previously There have been a few posts about Value at Risk (VaR) and Expected Shortfall (ES) including an introduction to Value at Risk and Expected Shortfall. Data and model The underlying data are daily returns for the S&P 500 from 1950 to the present. The VaR and … Continue reading...

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analyze the national survey of children’s health with r

November 18, 2013
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american children of the nineties might have had pogs, beanie babies, m.c. hammer, but we lacked a reliable source for state-level survey estimates on health.  then in 2003, the maternal and child health bureau of the health services and resources...

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Ensemble Methods, part 1

November 17, 2013
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Ensemble Methods, part 1

Last week I dabbled in building classification trees with the party and rpart packages.  Now, I want to put together a series where I can apply those basic trees along with advanced techniques like bagging, boosting and random forest.  Additi...

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Linear Regression with R : step by step implementation part-1

November 16, 2013
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Linear Regression with R : step by step implementation part-1

Welcome to the first part of my series blog post. In this post, I will discuss about how to implement linear regression step by step in R by understanding the concept of regression. I will try to explain the concept of linear regression in very short manner and try to convert mathematical formulas in to codes(hope you The post Linear...

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Evaluating Quandl Data Quality

November 15, 2013
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Quandl has indexed millions of time-series datasets from over 400 sources. All of Quandl’s datasets are open and free. This is great news but before performing any backtest using Quandl data, I want to compare it with a trusted source: Bloomberg for the purpose of this post. I will focus only on daily Futures data here

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Daily Tallies on R

November 14, 2013
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Daily Tallies on R

Say you have a dataset, where each row has a date or time, and something is recorded for that date and time. If each row is a unique date - great! If not, you may have rows with the same date, and you have to combine records for the same date to get a daily tally.

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Iterators in R

November 13, 2013
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According to Wikipedia, an iterator is “an object that enables a programmer to traverse a container”. A collection of items (stashed in a container) can be thought of as being “iterable” if there is a logical progression from one element to the next (so a list is iterable, while a set is not). An iterator

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A statistical review of ‘Thinking, Fast and Slow’ by Daniel Kahneman

November 11, 2013
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A statistical review of ‘Thinking, Fast and Slow’ by Daniel Kahneman

I failed to find Kahneman’s book in the economics section of the bookshop, so I had to ask where it was.  ”Oh, that’s in the psychology section.”  It should have also been in the statistics section. He states that his collaboration with Amos Tversky started with the question: Are humans good intuitive statisticians? The wrong The post A...

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The R Backpages

November 7, 2013
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The R Backpages

by Joseph Rickert As an avid newspaper reader (I still get the print edition of the New York Times delivered every Sunday morning) I have always thought that some of the most interesting news is to be found in the back pages. So, in that spirit here are some things that I thought might be fit to print. Plotly...

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quantstrat is slow

November 4, 2013
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The complaint I hear most frequently about quantstrat is that it's slow, especially for large data.  Some of this slow performance is due to quantstrat treating all strategies as path-dependent by default.  Path dependence requires rules to b...

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