1738 search results for "time series"

Variance targeting in garch estimation

September 24, 2012
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Variance targeting in garch estimation

What is variance targeting in garch estimation?  And what is its effect? Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series The last two of these show the variability of garch estimates on simulated series where we know the right answer.  In response to … Continue reading...

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Universal portfolio, part 11

September 23, 2012
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Universal portfolio, part 11

First an apology, the links to the Universal Portfolio paper have stopped working.  This is because the personal webpage of Thomas Cover at Stanford has been taken down, but fortunately the content moved elsewhere.  The new link is Universal ...

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Football model; plots and usage

September 23, 2012
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Football model; plots and usage

After reading data, making a predictions display and building a football data model it is time to put this to validate a bit more (regression plots) and put to usage. It appears that the regression plots in the car package were not ...

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FinancialInstrument Moves to CRAN

September 19, 2012
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FinancialInstrument Moves to CRAN

I thought I would break up the posts about GSOC (no, I’m not done yet – there are a few more to do) with a quick note about FinancialInstrument. The FinancialInstrument package provides a construct for defining and storing meta-data for tradable contracts (referred to as instruments, e.g., stocks, futures, options, etc.). The package can

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Automatic drug utilization reports with R and ggplot2

September 18, 2012
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Automatic drug utilization reports with R and ggplot2

This program takes a data set of drug utilisation of 4 fictional drugs in 10 fictional hospitals and plots each time-series with a locally weighted regression (Lowess) trend line. It also places an time-series trend of the usage for each … Continue reading →

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Example 10.2: Custom graphic layouts

September 17, 2012
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Example 10.2: Custom graphic layouts

In example 10.1 we introduced data from a CPAP machine. In brief, it's hard to tell exactly what's being recorded in the data set, but it seems to be related to the pattern of breathing. Measurements are taken five times a second, leading to on the o...

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Variability of garch estimates

September 17, 2012
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Variability of garch estimates

Not exactly pin-point accuracy. Previously Two related posts are: A practical introduction to garch modeling garch and long tails Experiment 1000 simulated return series were generated.  The garch(1,1) parameters were alpha=.07, beta=.925, omega=.01.  The asymptotic variance for this model is 2.  The half-life is about 138 days. The simulated series used a Student’s t distribution … Continue reading...

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The R-Podcast Episode 10: Adventures in Data Munging Part 2

September 16, 2012
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I’m happy to present episode 10 of the R-Podcast! Season 1 of the R-Podcast concludes with part 2 of my series on data munging, in which I discuss issues surrounding importing data sets contained in HTML tables. I share how I used the XML and RCurl packages to validate and import data from hockey-reference.com for

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Tutorials for Learning Visualization in R

September 12, 2012
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Tutorials for Learning Visualization in R

Today's guest post comes from Nathan Yau. Nathan runs FlowingData, a site on statistics and visualization, and is the author of Visualize This. Years ago, when I started FlowingData, the purpose of the blog was to catalog and think out loud about visualization, in its many varieties. In the beginning I was talking to myself for the most part,...

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Not fooled by randomness

September 10, 2012
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Not fooled by randomness

The paper is “Not Fooled by Randomness: Using Random Portfolios to Analyze Investment Funds” by Roberto Stein.  Here is an explanation of the idea of random portfolios. Favorite sentence The real question here is whether we’re actually measuring skill, or these are still measures of performance, so influenced by extraneous factors that the existence of … Continue reading...

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