Monthly Archives: December 2011

From datasets to algorithms in R

December 5, 2011
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Many statistical algorithms are taught and implemented in terms of linear algebra. Statistical packages often borrow heavily from optimized linear algebra libraries such as LINPACK, LAPACK, or BLAS. When implementing these algorithms in systems such as Octave or MATLAB, it is up to you to translate the data from the use case terms (factors, categories, numerical variables)...

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The Art of R Programming – my two cents

December 5, 2011
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The Art of R Programming – my two cents

What makes this book different from other books about R is stated clearly by the author Norman Matloff in the introduction: "This book is not a compendium of the myriad types of statistical methods that are available in the wonderful R package. It r...

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The volatility mystery continues

December 5, 2011
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The volatility mystery continues

How do volatility estimates based on monthly versus daily returns differ? Previously The post “The mystery of volatility estimates from daily versus monthly returns” and its offspring “Another look at autocorrelation in the S&P 500″ discussed what appears to be an anomaly in the estimation of volatility from daily versus monthly data. In recent times … Continue reading...

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I may have been hasty…

December 4, 2011
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I think one of the real reasons that I haven't liked R is the default interface blows (sucks, whatever).  I just discovered the Eclipse plugin StatET.  This things rules.  Contextual help, completion, object browser, data browser, etc. &...

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Steve Jobs’ 2005 Stanford Commencement Address

December 4, 2011
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Given that there are almost 13 million views of Steve Jobs’ commencement address, I am certain that I missed this video when it went viral. I am glad that I did not see it until now because I may not have appreciated his words of wisdom. And although...

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Improved Moving Average?

December 4, 2011
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Improved Moving Average?

When @quantfblog started following me on Twitter, I was delighted to discover their papers Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (September 11, 2011). Available at SSRN: http://ssrn.com/abstract...

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Introducing Biostatistics to first year LCG students

December 4, 2011
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Introducing Biostatistics to first year LCG students

Around two weeks ago I gave a talk via skype to the first year students from the Undergraduate Program on Genomic Sciences (LCG in Spanish) from the National Autonomous University of Mexico (UNAM in Spanish). The talk was under the context of the Introduction to Bioinformatics Seminar Series whose goal is to familiarize the new students with the bioinformatics...

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Non-PD Matrices in R, Cont.

December 3, 2011
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Let me preface this post by saying I am getting frustrated with R.  The syntax is not intuitive and the performance for matrix operations is slow.  Using Octave, a free Matlab clone, I can get over 6 Gflops on things that R is doing at less than 2.  After this post, I will focus on the statistical functions of R...

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Visualizing Unemployment Data

December 3, 2011
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Visualizing Unemployment Data

So recently Bureau of Labor Statistics released the Oct. 2011 unemployment data. This is not a discussion of it’s validity nor it’s impact, but it is a post on how to visualize it. This post is also for my posterity, I’ve wanted to be able to do this for a while, and it’ll serve as

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On the (statistical) road, workshops and R

December 3, 2011
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On the (statistical) road, workshops and R

Things have been a bit quiet at Quantum Forest during the last ten days. Last Monday (Sunday for most readers) I flew to Australia to attend a couple of one-day workshops; one on spatial analysis (in Sydney) and another one … Continue reading →

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