1629 search results for "time series"

The first version of my “inference from iterative simulation using parallel sequences” paper!

May 9, 2012
By

From August 1990. It was in the form of a note sent to all the people in the statistics group of Bell Labs, where I’d worked that summer. To all: Here’s the abstract of the work I’ve done this summer. It’s stored in the file, /fs5/gelman/abstract.bell, and copies of the Figures 1-3 are on Trevor’s The post The...

Read more »

Multiplicative effects in sensory panel data

May 7, 2012
By
Multiplicative effects in sensory panel data

In a previous post I used JAGS to build the Bayesian equivalent of a two-way ANOVA. Effects were determined of products, panelists and their interaction. In this post this model will be rebuild to provide a more simplified and advanced model. The inter...

Read more »

reshape (from base) Explained: Part II

May 5, 2012
By
reshape (from base) Explained: Part II

Part II Explains More Complex  Wide to Long With base reshape  In part I of this base reshape tutorial we went over the basics of reshaping data with reshape.  We learned two rules that help us to be more efficient … Continue reading →

Read more »

Correlations, dimension, and risk measure

May 4, 2012
By
Correlations, dimension, and risk measure

Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned...

Read more »

reshape (from base) Explained: Part I

May 2, 2012
By
reshape (from base) Explained: Part I

This Post Will Explain the Basics of Wide to Long With base reshape (part I) Often your data set is in wide format and some sort of analysis or visualization requires putting the data set into long format.  Hadely Wickham … Continue reading →

Read more »

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

April 30, 2012
By
Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the best choice. Although the … Continue reading...

Read more »

French Global Factors

April 30, 2012
By
French Global Factors

I have said it already in multiple posts, but Kenneth French’s data library is one of the most generous and powerful contributions to the financial community.  To build on Systematic Investor’s series on factors, I thought I should run some ba...

Read more »

Bayesian ANOVA for sensory panel profiling data

April 30, 2012
By
Bayesian ANOVA for sensory panel profiling data

In this post it is examined if it is possible to use Bayesian methods and specifically JAGS to analyze sensory profiling data. The aim is not to obtain different results, but rather to confirm that the results are fairly similar. The data used is the c...

Read more »

Teaching code, production code, benchmarks and new languages

April 30, 2012
By
Teaching code, production code, benchmarks and new languages

I’m a bit obsessive with words. May be I should have used learning in the title, rather than teaching code. Or perhaps remembering code. You know? Code where one actually has very clear idea of what is going on; for … Continue reading →

Read more »

Guess who wins: apply() versus for loops in R

April 28, 2012
By
Guess who wins: apply() versus for loops in R

Yesterday I tried to do some data processing on my really big data set in MS Excel. Wow, did it not like handling all those data!! Every time I tried to click on a different ribbon, the screen didn’t even … Continue reading →

Read more »