1540 search results for "time series"

A Work of Art: Efron on Bayesian Inference

October 6, 2011
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(Contributing blogger Joseph Rickert reports from the Stanford University Statistics Seminar series - ed.) Stanford University is very gracious about letting the general public attend many university events. Yesterday, it caught my eye that Bradley Efron was going to speak on Bayesian inference and the parametric bootstrap at the weekly Statistics seminar. So, since the free shuttle that goes...

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OLS beta VS. Robust beta

October 3, 2011
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OLS beta VS. Robust beta

In financial context, is suppose to reflect the relation between a stock and the general market. A broad based index such as the S&P 500 is often taken as proxy for the general market. The , without getting into too … Continue reading →

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Difficult Month for One of My Best Ideas

September 30, 2011
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Difficult Month for One of My Best Ideas

THIS IS NOT INVESTMENT ADVICE.  MY IDEAS PROBABLY WILL LOSE YOU MONEY, AND I WILL NOT LET YOU KNOW WHEN I CHANGE MY MIND. Bloomberg’s article “Asian Currencies Set for Worst Month Since 1997 Crisis Caused IMF Bailouts” demonstrates why with ...

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R 2.13.2 released

September 30, 2011
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The R core team announced today that R 2.13.2 is now available: The byte pixies have rolled up R-2.13.2.tar.gz at 9:00 this morning. This is intended to be the final release of the 2.13 series, for the benefit of those apprehensive of putting 2.14.x into production use. This update fixes a number of minor bugs (for example, pch="." will...

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Recession forecasting III: A Better Naive Forecast

September 20, 2011
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Recession forecasting III: A Better Naive Forecast

In Recession Forecasting Part II, I compared the accuracy of Hussman's recession forecasts to the accuracy of a naive forecast that assumed the current state of the recession variable would continue next month.An anonymous comment...

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Map the distribution of your sample by geolocating ip addresses or zip codes

September 18, 2011
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Map the distribution of your sample by geolocating ip addresses or zip codes

Yesterday I wanted to create a map of participants from a study on social media and partisan selective exposure that Sean Westwood and I ran recently, with participants from Amazon’s Mechanical Turk.  We recorded ip addresses for each Turker participant, so … Continue reading →

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Bayesian Models with Censored Data: A comparison of OLS, tobit and bayesian models

September 17, 2011
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Bayesian Models with Censored Data: A comparison of OLS, tobit and bayesian models

The following R code models a censored dependent variable (in this case academic aptitude) using a traditional least squares, tobit, and Bayesian approaches.  As depicted below, the OLS estimates (blue) for censored data are inconsistent and will ...

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Elements of Bayesian Econometrics

September 16, 2011
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Elements of Bayesian Econometrics

 posterior = (likelihood x prior) / integrated likelihoodThe combination of a prior distribution and a likelihood function is utilized to produce a posterior distribution.  Incorporating information from both the prior distribution and the likelihood function leads to a reduction in variance and an improved estimator. As n→...

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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

September 16, 2011
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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.  In my last post, I demonstrated how to backtest a simple momentum-based stock trading strategy ...

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Hey! I made you some Wiener processes!

September 7, 2011
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Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener for (j in 1:30) {        plot( homo.wiener,           type = "l", col = rgb(.1,....

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