Posts Tagged ‘ loess ’

Creating prediction distributions

January 4, 2011
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Creating prediction distributions

Here we give details and code for the prediction distributions exhibited in yesterday’s blog post Tis the season to predict. Eight years of returns The equity indices use daily closing levels from the start of 2003.  This data comes from Yahoo. A roughly equivalent technique of selecting the last 2000 daily prices is used for … Continue reading...

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Rethinking ‘loess’ for Binomial-Response Pitch F/X Strike Zone Maps

December 5, 2010
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Rethinking ‘loess’ for Binomial-Response Pitch F/X Strike Zone Maps

So after a long hiatus, I'm back for today. I've been crazy busy with a number of different things--including getting engaged and helping plan out wedding dates and things of that sort--and unfortunately have not kept up here on this blog (or on Fanta...

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Were stock returns really better in 2007 than 2008?

November 22, 2010
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Were stock returns really better in 2007 than 2008?

We know that the S&P 500 was up a little in 2007 and down a lot in 2008.  So on the surface the question seems really stupid.  But randomness played a part.  Let’s have a go at deciding how much of a part. Figure 1: Comparison of 2007 and 2008 for the S&P 500. Statistical … Continue reading...

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Creating surface plots

May 28, 2010
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Creating surface plots

A 3d wireframe plot is a type of graph that is used to display a surface – geographic data is an example of where this type of graph would be used or it could be used to display a fitted model with more than one explanatory variable. These plots are related to contour plots which

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Displaying data using level plots

May 3, 2010
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Displaying data using level plots

A level plot is a type of graph that is used to display a surface in two rather than three dimensions – the surface is viewed from above as if we were looking straight down and is an alternative to a contour plot – geographic data is an example of where this type of graph

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Quantile LOESS – Combining a moving quantile window with LOESS (R function)

April 1, 2010
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Quantile LOESS – Combining a moving quantile window with LOESS (R function)

In this post I will provide R code that implement’s the combination of repeated running quantile with the LOESS smoother to create a type of “quantile LOESS” (e.g: “Local Quantile Regression”). This method is useful when the need arise to fit robust and resistant (Need to be verified) a smoothed line for a quantile (an example for such a...

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