1851 search results for "time series"

Twelve Days 2013: LASSO Regression

December 19, 2013
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Day Eight: LASSO Regression TL/DR LASSO regression (least absolute shrinkage and selection operator) is a modified form of least squares regression that penalizes model complexity via a regularization parameter. It does so by including a term proportional to $||\beta||_{l_1}$ in the objective function which shrinks coefficients towards zero, and can even eliminate them entirely. In that light, LASSO is a...

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Converting graphs in pdf files to csv format

December 19, 2013
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Converting graphs in pdf files to csv format

Looking at a graph displayed as part of a pdf document is so tantalizing; I want that data as a csv! One way to get the data is to email the author(s) and ask for it. I do this regularly and sometimes get the apologetic reply that the data is confidential. But I can see

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Giving R the strengths of Stata

December 19, 2013
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Giving R the strengths of Stata

This is not a partisan post that extols the virtues of one software package over another. I love Stata and R and use them both all the time. They each have strengths and weaknesses and if I could only take … Continue reading →

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Processing EXIF Data

December 15, 2013
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Processing EXIF Data

I got quite inspired by the EXIF with R post on the Timely Portfolio blog and decided to do a similar analysis with my photographic database. The Data The EXIF data were dumped using exiftool. This command uses some of the powerful features of the bash shell. If you are interested in seeing more about

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Probability and Monte Carlo methods

December 15, 2013
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Probability and  Monte Carlo methods

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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Trapezoidal Integration – Conceptual Foundations and a Statistical Application in R

Trapezoidal Integration – Conceptual Foundations and a Statistical Application in R

Introduction Today, I will begin a series of posts on numerical integration, which has a wide range of applications in many fields, including statistics.  I will introduce with trapezoidal integration by discussing its conceptual foundations, write my own R function to implement trapezoidal integration, and use it to check that the Beta(2, 5) probability density

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A note on the co-moments in the IFACD model

December 11, 2013
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The Independent Factor Autoregressive Conditional Density (IFACD) model of Ghalanos, Rossi and Urga (2014) uniquely, in its class of parametric models, generates time varying higher co-moment forecasts, as a consequence of the ACD specification of the conditional density of the standardized innovations. In this short note I discuss in more detail the properties of the

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A note on the co-moments in the IFACD model

December 11, 2013
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The Independent Factor Autoregressive Conditional Density (IFACD) model of Ghalanos, Rossi and Urga (2014) uniquely, in its class of parametric models, generates time varying higher co-moment forecasts, as a consequence of the ACD specification of the conditional density of the standardized innovations. In this short note I discuss in more detail the properties of the

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Feature Prioritization: Multiple Correspondence Analysis Reveals Underlying Structure

December 10, 2013
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Feature Prioritization:  Multiple Correspondence Analysis Reveals Underlying Structure

Measuring the Power of Product Features to Generate Increased DemandProduct management requires more from feature prioritization than a rank ordering. It is simply not enough to know the "best" feature if that best does not generate increased demand. W...

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Matrix factorizations and social network graph analysis

December 9, 2013
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Matrix factorizations and social network graph analysis

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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