1657 search results for "time series"

My Personal Intro to F1 Race Statistics

January 10, 2013
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My Personal Intro to F1 Race Statistics

One of the many things I keep avoiding is statistics. I’ve never really been convinced about the 5% significance level thing; as far as I can tell, hardly anything that’s interesting normally distributes; all the counting that’s involved just confuses me; and I never really got to grips with confidently combining probabilities. I find a

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Maps in R: Plotting data points on a map

January 10, 2013
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Maps in R: Plotting data points on a map

In the introductory post of this series I showed how to plot empty maps in R. Today I'll begin to show how to add data to R maps. The topic of this post is the visualization of data points on … Continue reading →

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Item Response Modeling of Customer Satisfaction: The Graded Response Model

January 8, 2013
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Item Response Modeling of Customer Satisfaction:  The Graded Response Model

After several previous posts introducing item response theory (IRT), we are finally ready for the analysis of a customer satisfaction data set using a rating scale.  IRT can be multidimensional, and R is fortunate to have its own package, mirt, with excellent documentation (R.Philip Chalmers).  But, the presence of a strong first principal...

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Does anything NOT beat the GARCH(1,1)?

January 7, 2013
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Does anything NOT beat the GARCH(1,1)?

In their paper on GARCH model comparison, Hansen and Lunde (2005) present evidence that among 330 different models, and using daily data on the DM/$ rate and IBM stock returns, no model does significantly better at predicting volatility (based on a realized measure) than the GARCH(1,1) model, for an out of sample period of about

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Does anything NOT beat the GARCH(1,1)?

January 7, 2013
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Does anything NOT beat the GARCH(1,1)?

In their paper on GARCH model comparison, Hansen and Lunde (2005) present evidence that among 330 different models, and using daily data on the DM/$ rate and IBM stock returns, no model does significantly better at predicting volatility (based on a realized measure) than the GARCH(1,1) model, for an out of sample period of about

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analyze the medical expenditure panel survey (meps) with r

January 7, 2013
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the meps household component leads the pack for examining individual-level medical expenditures by payor and type of service.  total expenditures captured by the survey tend to be low, but unbiased across the board and can be adjusted to match the...

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More Principal Components Fun

January 6, 2013
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More Principal Components Fun

Today, I want to continue with the Principal Components theme and show how the Principal Component Analysis can be used to build portfolios that are not correlated to the market. Most of the content for this post is based on the excellent article, “Using PCA for spread trading” by Jev Kuznetsov. Let’s start by loading

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Infinite generators in R

January 5, 2013
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Infinite generators in R

This is first in a series of posts about creating simulations in R. As a foundational discussion, I first look …Continue reading »

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IBS reversion edge with QuantShare

January 4, 2013
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IBS reversion edge with QuantShare

Happy New Years to readers; my resolution this year is to continue delivering thoughts and ideas to others in the hopes that we all might be able to benefit somewhat from sharing observations. I'll start by describing an edge using QuantShare as the b...

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What The Smeg? Some Text Analysis of the Red Dwarf Scripts

January 4, 2013
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Introduction Just as Pocket fundamentally changed my reading behaviour, I am finding that now having Netflix (and even before that, other downloadable or streaming digital content) is really changing my behaviour as far as television is concerned. Where watching TV used to be an affair of browsing through 500 channels and complaining there was nothing on, now with the...

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