1674 search results for "time series"

R code for Chapter 2 of Non-Life Insurance Pricing with GLM

March 13, 2012
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R code for Chapter 2 of Non-Life Insurance Pricing with GLM

We continue working our way through the examples, case studies, and exercises of what is affectionately known here as “the two bears book” (Swedish björn = bear) and more formally as Non-Life Insurance Pricing with Generalized Linear Models by Esbjörn Ohlsson and Börn Johansson (Amazon UK | US). At...

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Generating a lag/lead variables

March 11, 2012
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Generating a lag/lead variables

A few days ago, my friend asked me is there any function in R to generate lag/lead variables in a data.frame or did similar thing as _n in stata. He would like to use that to clean-up his dataset in R. In stata help manual: _n contains the number of the current observation. Here’s an

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di Roma

March 4, 2012
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di Roma

It has been a wonderful week in Roma, a mix of pleasant work and enjoyable free-time! I gave the ABC advanced course for the second time in a month so it did not require much in terms of preparation and there was a good sized audience with attentive (if too silent!) students and friends as

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ggplot2 0.9.0 released

March 4, 2012
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This announcement was made by Hadley Wickham in the mailing list. ———————- # ggplot2 ggplot2 is a plotting system for R, based on the grammar of graphics, which tries to take the good parts of base and lattice graphics and avoid bad parts. It takes care of many of the fiddly details that make plotting a hassle (like drawing legends)...

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Download and Parse NAREIT Data

March 1, 2012
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Download and Parse NAREIT Data

This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as

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Realized efficient frontiers

February 27, 2012
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Realized efficient frontiers

A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant.  I’ve made fun of it before.  This post explores the efficient frontier in a slightly less snarky fashion. Data The universe is 474 stocks in the S&P 500.  The predictions are made using data from … Continue reading...

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Why I don’t like Dynamic Typing

February 25, 2012
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A lot of people consider the static typing found in languages such as C, C++, ML, Java and Scala as needless hairshirtism. They consider the dynamic typing of languages like Lisp, Scheme, Perl, Ruby and Python as a critical advantage (ignoring other features of these languages and other efforts at generic programming such as the Related posts:

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Maps with R (III)

February 23, 2012
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Maps with R (III)

In my previous posts (1 and 2) I wrote about maps with complex legends but without any kind of interactivity. …Continuar leyendo »

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Multiple Factor Model – Building Risk Model

February 20, 2012
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Multiple Factor Model – Building Risk Model

This is the fourth post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Building CSFB Factors, and I will show how to build a multiple factor risk model. For an example of the multiple factor risk models, please read following references:

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Maps with R (I)

February 18, 2012
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Maps with R (I)

This is the first post of a short series to show some code I have learnt to produce maps with …Continuar leyendo »

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