1629 search results for "time series"

Download and parse EDHEC hedge fund indexes

June 4, 2012
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Download and parse EDHEC hedge fund indexes

In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other indexes might be

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11 Million Yellow Slips – City of Toronto Parking Tickets, 2008-2011

June 2, 2012
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11 Million Yellow Slips – City of Toronto Parking Tickets, 2008-2011

IntroductionI don't know about you, but I really hate getting parking tickets. Sometimes I feel like it's all just a giant cash grab. Really? I can't park there between the hours of 11 and 3, but every other time is okay? Well, why the hell not?Bu...

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Predicting NBA Playoff Games – Results and Update 1

June 1, 2012
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Predicting NBA Playoff Games – Results and Update 1

Game ResultsI recently made a post about developing an algorithm to predict the NBA playoffs, and I concluded with 2 predictions. Although Miami beat the Celtics to make my algorithm 1-0 in terms of predictions, it fell to 1-1 when the Thunder beat th...

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Predicting NBA Playoff Games – Results and Update 1

June 1, 2012
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Predicting NBA Playoff Games – Results and Update 1

Game ResultsI recently made a post about developing an algorithm to predict the NBA playoffs, and I concluded with 2 predictions. Although Miami beat the Celtics to make my algorithm 1-0 in terms of predictions, it fell to 1-1 when the Thunder beat th...

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Term structure of interest rate spread volatility : Unit root test

Term structure of interest rate spread volatility : Unit root test

Recently, I was working on my master's thesis and came across an interesting observation regarding the term structure of interest rate spread volatility that I wish to share. Let me first try and throw some light on the jargon that I have used. To begi...

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Online Course from Statistics.com: Advanced Programming in R

May 30, 2012
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  Hadley Wickham teaches “Programming in R – Advanced,” June 15 – July 13 online at Statistics.com. This is the third in a series of courses that cover programming in R, so if you are new to the subject you should start with our Jul 27 course “Introduction to R: Data Handling.” Upcoming Courses: Jun 15:  Advanced Programming in R...

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Project Euler — problem 5

May 30, 2012
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I spent around 40 minutes on the last post yesterday, which delayed my bedding time and caused my sleepiness in the morning. So, I’m starting to write earlier tonight. The fifth problem is to calculate the smallest composite for given numbers. 2520 is … Continue reading →

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R 2.15.1 scheduled for June 22

May 30, 2012
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The next release of open-source R, codenamed "Roasted Marshmallows", is scheduled to be released on June 22, according to this announcement on the r-announce mailing list. Don't expect too many changes in this update: despite the fact that "there have been very few issues with 2.15.0 ... some people may be waiting superstitiously for a .1 release". This will...

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ABC+EL=no D(ata)

May 27, 2012
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ABC+EL=no D(ata)

It took us a loooong while but we finally ended up completing a paper on ABC using empirical likelihood (EL) that was started by me listening to Brunero Liseo’s tutorial in O’Bayes-2011 in Shanghai… Brunero mentioned empirical likelihood as a semi-parametric technique w/o much Bayesian connections and this got me thinking

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A complete Bayesian model for sensory profiling data

May 22, 2012
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A complete Bayesian model for sensory profiling data

In this post I will try to add an important parts in the sensory profiling model I have been building. This concerns the question: 'Are all panelists equally reproducible?'. Obviously the answer is no, some are better than others. From this observation...

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