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 →

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

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

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

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