Lighting UpWay back in the day, folks believed that smoking was not only cool but also completely safe. As Marcel Danesi states in his book Of Cigarettes, High Heels, and Other Interesting Things, Second Edition: An Introduction to Semiotics ...

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The Tenth Australasian Data Mining Conference (AusDM 2012) Sydney, Australia, 5-7 December 2012 http://ausdm12.togaware.com/ The Australasian Data Mining Conference has established itself as the premier Australasian meeting for both practitioners and researchers in data mining. This year’s conference, AusDM’12, co-hosted … Continue reading →

About this time last month, I attended the 2012 UseR! Meeting. Now an annual event, this series of conferences started in Europe in 2004 as an every-other-year gathering that now seems to alternate between the U.S. and Europe. This year’s meeting was held on the VanderbiltUniversity campus in Nashville, TN, and it was attended by about 500 R aficionados,...

As first reported by Paolo, the new R journal is out! You can Download the complete issue from here. Refereed articles may be downloaded individually using the links below. Table of Contents Editorial 3 Contributed Research Articles Analysing Seasonal Data Adrian G Barnett, Peter Baker and Annette J Dobson 5 MARSS: Multivariate Autoregressive State-space...

The biggest prize in UK soccer, the Premier League Championship, is decided by a points system. Unlike most sports competitions, there's no final round or playoff series: once the regular round of games is complete, the team that has accumulated the most points (three for a win, and one for a draw) is the champion of English football. In...

We look at volatility clustering, and some aspects of modeling it with a univariate GARCH(1,1) model. Volatility clustering Volatility clustering — the phenomenon of there being periods of relative calm and periods of high volatility — is a seemingly universal attribute of market data. There is no universally accepted explanation of it. GARCH (Generalized AutoRegressive … Continue reading...

When we backtest a strategy on a portfolio, it is a simple analysis of a single period in time. There are ways to “stress test” a strategy such as monte carlo, random portfolios, or shuffling the returns in a random order. I could never really wrap my head around monte carlo and shuffling the returns … Continue reading...

(by Trevor Hastie) Glmnet_1.8 uploaded to CRAN – This is a major revision, with two additional models included. 1) Multiresponse regression – family=”mgaussian” Here we have a matrix of M responses, and we fit a series of linear models in parallel. We use a group-lasso penalty on the set of M coefficients for each variable. This means they are...