The simplest type of data object in R is a vector, which is simply an ordered set of values. Some further examples of creating vectors are shown below: Input: 1:20 Output: [1] 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 This creates a... [Read more...]

As stated in CloudStat Intro, we know that CloudStat is based on R Language, an object orientated language, everything in R is an object. Each object has a class. The simplest data objects are one-dimensional arrays called vectors, consisting of any nu... [Read more...]

Just because it’s caturday Images by Mario Pineda-Krch (CC BY-NC-SA 3.0) This is from the “Mario’s Entangled Bank” blog ( http://pineda-krch.com ) of Mario Pineda-Krch, a theoretical biologist at the University of Alberta. Filed under: cats, computing, humour, R, Sweave [Read more...]

Regular readers will know I use the R package to produce most of the charts that appear here on the blog. Being more quantitative than artistic, I find choosing colours for the charts to be one of the trickiest tasks when designing a chart, particularly as R has so many ... [Read more...]

Reading our local weekly press this evening (the Isle of Wight County Press), I noticed a page 5 headline declaring “Alarm over death rates at St Mary’s”, St Mary’s being the local general hospital. It seems a Department of Health report on hospital mortality rates came out earlier this ... [Read more...]

I came across an ingenious simulation by Perron during my Time-series lecture which I thought was worth sharing. The idea was to put your model to a further test of breaking trend before accepting the null of unit root. Let me try and illustrate this in simple language. A non-stationary ... [Read more...]

In a previous post, I discussed how to generate PPC keywords in R. In this post I will provide another example of how to perform this task. Let’s say that I am a auto insurance company that only operates in the state of Illinois. I’m planing on bidding ... [Read more...]

The good folks at DataMarket have posted a new tutorial on using the rdatamarket package (covered here in August) to easily download public data sets into R for analysis. The tutorial describes how to install the rdatamarket package, how to extract metadata for data sets, and how to download the ... [Read more...]

match and %in% are two very commonly-used function in R. So, what's the difference of them?First, how to use them -- (copy from R manual)match returns a vector of the positions of (first) matches of its first argument in its second.%in% is a ... [Read more...]

Consider a (simple) Poisson regression . Given a sample where , the goal is to derive a 95% confidence interval for given , where is the prediction. Hence, we want to derive a confidence interval for the prediction, not the potential observation... [Read more...]

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I came across a problem below when doing stemming and stem completion with package tm in R. Word “mining” was stemmed to “mine” with stemDocument(), and then completed to “miners”with stemCompletion(). However, I prefer to keep “mining” intact. For stemCompletion(), … Continue reading → [Read more...]

R users in the financial industry may be interested in the following webinar hosted by Revolution Analytics' partner Sybase on November 10: Portfolio Rebalancing Using R and Sybase RAP for Intraday Risk Management With volatility and violent intraday swings becoming the new normal, intraday risk controls are now needed to not ... [Read more...]

[...] have the 64 bit version of R compiled from source on my Ubuntu laptop. I recently had a need for R based on 32 bit since a package I [...] [Read more...]

We were recently given a lecture (by Dr. Susan Thomas) on Harry Markowitz portfolio optimization theory, and I was really fascinating with the noble laureate's story of how he found it difficult to convince his guide about the importance of h... [Read more...]

Investment Performance Guy has a post “Periodicity of risk statistcs (and other measures)” in which it is wondered how valid volatility estimates are from a month of daily returns. Here is a quick look.  Figure 1 shows the variability (and a 95% confidence interval) of volatility estimates for the S&P 500 index ... [Read more...]

The Omega Ratio was introduced by Keating and Shadwick in 2002. It measures the ratio of average portfolio wins over average portfolio losses for a given target return L. Let x.i, i= 1,…,n be weights of instruments in the portfolio. We suppose that j= 1,…,T scenarios of returns with equal ... [Read more...]

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Having worked just a little with R, I have some first impressions to share.  I'll give you some links to resources I found helpful with writing the previous project. First, the documentation is not very good.  I struggled on previous attempts to figure things out.  I still find it crap ... [Read more...]

Earlier this year I came across a rather interesting page about optimisation in R from rwiki. The goal was to find the most efficient code to produce strings which follow the pattern below given a single integer input n: From this we can see that the general pattern for n ... [Read more...]