Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week’s review is highly concentrated on R language.
R-code for the algorithm of Ait-Sahalia: the Closed-Form expansion for the transition densities of diffusions by Professor Yacine Aït-Sahalia facilitates the Maximum Likelihood Estimation, the related papers and Matlab package can be downloaded directly at his website at Ait-Sahalia, but in case you are a R user, this is what you need.
R Memory Issue: insights on R memory issue, most of us have met it more or less.
Regression via Gradient Descent in R: detailed simple example demonstrating how to run a regression via Gradient descent in R: principle and codes.
Amelia II: A Program for Missing Data: An excellent R package for multiple imputation of missing data. I had a post introducing its first version at missing data imputation.
The Art of R Programming: A Tour of Statistical Software Design: the book title tells it, you can’t miss it as a R user.
R Cheat Sheets: still having trouble remembering the exact commands in R? here is an excellent collection of R cheet sheets.
How to interpret Johansens’ test results: simple while detailed examples guiding you through the basic knowledge how to interpret Johansenss test results for cointegration analysis.
Improving Trend-Following Strategies With Counter-Trend Entries: minor adjustments to strategies that can both improve their backtest performance and also reduce the real costs of trading.
Tags – r , week , review
Read the full post at Week in Review 021211 R Language.