1717 search results for "time series"

High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

March 20, 2013
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High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

The interest in high frequency trading and models has grown exponentially in the last decade. While I have some doubts about the validity of any signals emerging from all the noise at higher and higher frequencies, I have nevertheless decided to look at the statistical modelling of intraday returns using GARCH models. Unlike daily and

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High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

March 20, 2013
By
High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

The interest in high frequency trading and models has grown exponentially in the last decade. While I have some doubts about the validity of any signals emerging from all the noise at higher and higher frequencies, I have nevertheless decided to look at the statistical modelling of intraday returns using GARCH models. Unlike daily and

Read more »

Animating neural networks from the nnet package

March 19, 2013
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Animating neural networks from the nnet package

My research has allowed me to implement techniques for visualizing multivariate models in R and I wanted to share some additional techniques I’ve developed, in addition to my previous post. For example, I think a primary obstacle towards developing a useful neural network model is an under-appreciation of the effects model parameters have on model

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Baseball Statistics with R – Batting Average

March 18, 2013
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Baseball Statistics with R – Batting Average

I'm working on a new book about the R programming language. R is a language that is designed for use with statistics and data. I use it to analyze sports and social networking. I thought that it would be fun to write the book focusing on baseball statistics using data from Major League Baseball. This post...

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Variability of garch predictions

March 17, 2013
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Variability of garch predictions

How variable are garch predictions? Previously There have been several posts on garch, in particular: A practical introduction to garch modeling The components garch model in the rugarch package Both of these posts speak about the two common prediction targets: prediction (of volatility) at the individual times (usually days) term structure prediction — the average … Continue reading...

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Ordinal Data

March 17, 2013
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Ordinal Data

I expect to be getting some ordinal data, from 5 or 9 point rating scales, pretty soon, so I am having a look ahead how to treat those. Often ANOVA is used, even though it is well known not to be ideal fro a statistical point of view, so that is the st...

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How do I make my graphs?

March 15, 2013
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How do I make my graphs?

Someone who wishes to remain anonymous writes: I’ve been following your blog a long time and enjoy your posts on visualization/statistical graphics matters. I don’t recall however you ever describing the details of your setup for plotting. I’m a new R user (convert from matplotlib) and would love to know your thoughts on the ideal The post How...

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Calender Heatmap with Google Analytics Data

March 15, 2013
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Calender Heatmap with Google Analytics Data

As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

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Calender Heatmap with Google Analytics Data

March 15, 2013
By
Calender Heatmap with Google Analytics Data

As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

Read more »

On ENAR, or Statistical Meetings in General

March 14, 2013
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Last year I accepted an invitation from Ben to go to ENAR 2013 -- my first ENAR. I used to go to JSM and useR!, and apparently I enjoy useR! most. The reason is not, or not only, because I'm more of a technical person. It is just hard to concentrate at large statistical conferences. I want...

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