1544 search results for "time series"

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

September 17, 2011
By
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 ...

Read more »

Elements of Bayesian Econometrics

September 16, 2011
By
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→...

Read more »

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

September 16, 2011
By
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 ...

Read more »

Hey! I made you some Wiener processes!

September 7, 2011
By
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,....

Read more »

Hey! I made you some Wiener processes!

September 7, 2011
By
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,....

Read more »

2011 Perth City to Surf Stats

September 6, 2011
By
2011 Perth City to Surf Stats

Like every year, August sees the thousands taking part in the Perth City to Surf, and with that comes the chance for some stats. Why? Curiosity more than anything, and to convince myself that my time in the 12km run … Continue reading →

Read more »

Example 9.4: New stuff in SAS 9.3– MI FCS

September 6, 2011
By
Example 9.4: New stuff in SAS 9.3– MI FCS

We begin the new academic year with a series of entries exploring new capabilities of SAS 9.3, and some functionality we haven't previously written about.We'll begin with multiple imputation. Here, SAS has previously been limited to multivariate norma...

Read more »

Assessing the Forecasting Ability of Our Model

September 2, 2011
By
Assessing the Forecasting Ability of Our Model

Today we wish to see how our model would have faired forecasting the past 20 values of GDP. Why? Well ask yourself this: How can you know where your going, if you don't know where you've been? Once you understand please proceed on with the following post.First recall the trend portion that we have already accounted for:> t=(1:258)> t2=t^2> trendy= 892.656210 +...

Read more »

Some Additional Thoughts on Useless Averages

Some Additional Thoughts on Useless Averages

In my last post, I described three situations where the average of a sequence of numbers is not representative enough to be useful: in the presence of severe outliers, in the face of multimodal data distributions, and in the face of infinite-variance distributions.  The post generated three interesting comments that I want to respond to here.First and foremost, I...

Read more »

SIGKDD 2011 Conference — Days 2/3/4 Summary

August 27, 2011
By
SIGKDD 2011 Conference — Days 2/3/4 Summary

<< My review of Day 1. I am summarizing all of the days together since each talk was short, and I was too exhausted to write a post after each day. Due to the broken-up schedule of the KDD sessions, I group everything together instead of switching back and forth among a dozen different topics. By far the most enjoyable...

Read more »