# Monthly Archives: August 2011

## Le Monde puzzle [#737]

August 26, 2011
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The puzzle in the weekend edition of Le Monde this week can be expressed as follows: Consider four integer sequences (xn), (yn), (zn), and (wn), such that and, if u=(xn,yn,zn,wn), for i=1,…,4, if ui is not the maximum of u and otherwise. Find the first return time n (if any) such that xn=0. Find the value

## Time series cross-validation: an R example

August 25, 2011
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I was recently asked how to implement time series cross-validation in R. Time series people would normally call this “forecast evaluation with a rolling origin” or something similar, but it is the natural and obvious analogue to leave-one-out cross-validation for cross-sectional data, so I prefer to call it “time series cross-validation”. Here is some example

## Examples on Clustering with R

August 25, 2011
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R code examples on various clustering techniques are available as “Clustering in R” in Chapter 4 of R & Bioconductor Manual by Thomas Girke, UC Riverside. It provides R examples on - Hierarchical Clustering, including tree cutting/coloring and heatmaps, - … Continue reading →

## Mode vs Mean in Tactical Allocation

August 25, 2011
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Let’s take Modest Modeest for Moving Average one step further and use it in a basic tactical allocation system using Vanguard funds.  THIS IS NOT INVESTMENT ADVICE AND VERY EASILY MIGHT CAUSE LARGE LOSSES.  VANGUARD FUNDS IMPOSE EARLY REDEM...

## Major changes to the forecast package

August 25, 2011
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The forecast package for R has undergone a major upgrade, and I’ve given it version number 3 as a result. Some of these changes were suggestions from the forecasting workshop I ran in Switzerland a couple of months ago, and some have been on the drawing board for a long time. Here are the main

## String functions in R

August 25, 2011
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Here's a quick cheat-sheet on string manipulation functions in R, mostly cribbed from Quick-R's list of String Functions with a few additional links. substr(x, start=n1, stop=n2) grep(pattern,x, value=FALSE, ignore.case=FALSE, fixed=FALSE) gsub(pattern, replacement, x, ignore.case=FALSE, fixed=FALSE) gregexpr(pattern, text, ignore.case=FALSE, perl=FALSE, fixed=FALSE) strsplit(x, split) paste(..., sep="", collapse=NULL) sprintf(fmt, ...)

## How to access 100M time series in R in under 60 seconds

August 25, 2011
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DataMarket, a portal that provides access to more than 14,000 data sets from various public and private sector organizations, has more than 100 million time series available for download and analysis. (Check out this presentation for more info about DataMarket.) And now with the new package rdatamarket, it's trivially easy to import those time series into R for charting,...

## Numerical analysis for statisticians

August 25, 2011
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“In the end, it really is just a matter of choosing the relevant parts of mathematics and ignoring the rest. Of course, the hard part is deciding what is irrelevant.” Somehow, I had missed the first edition of this book and thus I started reading it this afternoon with a newcomer’s eyes (obviously, I will

## Benford’s law, or the First-digit law

August 25, 2011
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Benford's law, also called the first-digit law, states that in lists of numbers from many (but not all) real-life sources of data, the leading digit is distributed in a specific, non-uniform way. According to this law, the first digit is 1 about 30% of the time, and larger digits occur as the leading digit with lower and lower frequency,...

## Forecasting in R: Modeling GDP and dealing with trend.

August 25, 2011
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Okay so we want to forecast GDP. How do we even begin such a burdensome ordeal?Well each time series has 4 components that we wish to deal with and those are seasonality, trend, cyclicality and error.  If we deal with seasonally adjusted data we d...