2875 search results for "twitteR"

Dennis Ritchie 1941-2011

October 28, 2011
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Dennis Ritchie 1941-2011

I just got the “news” that Dennis Ritchie died, although this happened on October 12… The announcement was surprisingly missing from my information channels and certainly got little media coverage, compared with Steve Jobs‘ demise. (I did miss the obituaries in the New York Times and in the Guardian. The Economist has the most appropriate

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Copulas made easy

October 28, 2011
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Copulas made easy

Everyday, a poor soul tries to understand copulas by reading the corresponding Wikipedia page, and gives up in despair. The incomprehensible mess that one finds there gives the impression that copulas are about as accessible as tensor theory, which is a shame, because they are actually a very nice tool. The only prerequisite is knowing

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The Most Diversified or The Least Correlated Efficient Frontier

October 27, 2011
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The Most Diversified or The Least Correlated Efficient Frontier

The “Minimum Correlation Algorithm” is a term I stumbled at the CSS Analytics blog. This is an Interesting Risk Measure that in my interpretation means: minimizing Average Portfolio Correlation with each Asset Class for a given level of return. One might try to use Correlation instead of Covariance matrix in mean-variance optimization, but this approach,

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RStudio Update

October 27, 2011
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RStudio Update

With R 2.14 slated to be released next week we wanted to encourage everyone planning to upgrade to also update to the latest release of RStudio (v0.94.110). For R 2.14 users this release includes tweaks related to compatibility with the R 2.14 graphics engine as well as compatibility with the new parallel package. There are

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R Cookbook with examples

October 27, 2011
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R Cookbook with examples

An R Cookbook can be found at http://code.ca-net.org/R%20Cookbook. It is a short web document presenting dozens of examples on - Accessing Database with packages RSQLite, RMySQL, RdbiPgSQL and RODBC; - Reading and Writing Data; - Date/Time variable; - Graphics; - … Continue reading →

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Controlling multiple risk measures during construction of efficient frontier

October 26, 2011
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Controlling multiple risk measures during construction of efficient frontier

In the last few posts I introduced Maximum Loss, Mean-Absolute Deviation, and Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) risk measures. These risk measures can be formulated as linear constraints and thus can be combined with each other to control multiple risk measures during construction of efficient frontier. Let’s examine efficient frontiers computed

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Catching up faster by switching sooner

October 25, 2011
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Catching up faster by switching sooner

Here is our discussion (with Nicolas Chopin) of the Read Paper of last Wednesday by T. van Erven, P. Grünwald and S. de Rooij (Centrum voor Wiskunde en Informatica, Amsterdam), entitled Catching up faster by switching sooner: a predictive approach to adaptive estimation with an application to the Akaike information criterion–Bayesian information criterion dilemma. It

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Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) risk measures

October 25, 2011
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Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) risk measures

In the Maximum Loss and Mean-Absolute Deviation risk measures post I started the discussion about alternative risk measures we can use to construct efficient frontier. Another alternative risk measures I want to discuss are Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR). I will use methods presented in Comparative Analysis of Linear Portfolio Rebalancing

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Approximate Bayesian computational methods on-line

October 25, 2011
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Approximate Bayesian computational methods on-line

Fig. 4 – Boxplots of the evolution of ABC approximations to the Bayes factor. The representation is made in terms of frequencies of visits to models MA(1) and MA(2) during an ABC simulation when ε corresponds to the 10,1,.1,.01% quantiles on the simulated autocovariance distances. The data is a time

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Vanilla C code for the Stochastic Simulation Algorithm

October 24, 2011
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Vanilla C code for the Stochastic Simulation Algorithm

The Gillespie stochastic simulation algorithm (SSA) is the gold standard for simulating state-based stochastic models. If you are a R buff, a SSA novice and want to get quickly up and running stochastic models (in particular ecological models) that are not … Continue reading →

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