1825 search results for "time series"

From area under the curve to the fundamental theorem of calculus

November 24, 2013
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From area under the curve to the fundamental theorem of calculus

This is a lecture post for my students in the CUNY MS Data Analytics program. In this series of lectures …Continue reading »

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Easy Laplace Approximation of Bayesian Models in R

November 21, 2013
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Easy Laplace Approximation of Bayesian Models in R

Thank you for tuning in! In this post, a continuation of Three Ways to Run Bayesian Models in R, I will: Handwave an explanation of the Laplace Approximation, a fast and (hopefully not too) dirty method to approximate the posterior of a Bayesian model. Show that it is super easy to do Laplace approximation in R, basically four...

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Plugging hierarchical data from R into d3

November 20, 2013
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Plugging hierarchical data from R into d3

Here I show how to convert tabulated data into a json format that can be used in d3 graphics. The motivation for this was an attempt at getting an overview of topic models (link). Illustrations like the one to the right are very attractive; my motivati...

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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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