You have a problem: R is single-threaded, but your code would be faster if it could simultaneously run on more than one core. You have access to a cluster and/or your computer has multiple cores. Parallel R, by Q. Ethan McCallum and Stephen...

Say you havea <- c(1,3,5,7,9)b <- c(3,6,8,9,10)c <- c(2,3,4,5,7,9)A straightforward way to do the job is:intersect(intersect(a,b),c)More cleverly, and more conveniently if you have a lot of arguments:Reduce(intersect, list(a,b,c))The Reduce fu...

Today I want to examine the performance of stocks in the S&P 500 grouped into Quantiles based on one year historical Volatility. The idea is very simple: each week we will form Volatility Quantiles portfolios by grouping stocks in the S&P 500 into Quantiles using one year historical Volatility. Next we will backtest each portfolio

Following the announcement of the US Government Big Data Initiative, I was asked to write a small article about applications of R in government. The article has just appeared in Government Security News (and I believe will appear in their daily newsletter tomorrow). In the article, I highlighted several R applications that been highlighted here in the blog: In...

In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other indexes might be

Following the previous post on life contingencies and actuarial models in life insurance, I upload additional material for the short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The second part of the talk (on Actuarial models with R) will be dedicated to longevity and mortality. A complete...

Today we’re very excited to announce RPubs, a free service that makes it easy to publish documents to the web from R. RPubs is a quick and easy way to disseminate data analysis and R code and do ad-hoc collaboration with peers. RPubs documents are based on R Markdown, a new feature of knitr 0.5 and RStudio 0.96. To publish

Recently needed to extract a small "chunk" from a collection of adjacent MrSid mosaics, each about 4Gb in size. Once again, GDAL came to the rescue, and saved much time and agony wile working with very large, compressed, and proprietary-format files. T...

Most of regression methods assume that the response variables follow some exponential distribution families, e.g. Guassian, Poisson, Gamma, etc. However, this assumption was frequently violated in real world data by, for example, zero-inflated overdispersion problem. A number of methods were developed to deal with such problem, and among them, Quasi-Poisson and Negative Binomial are the most popular methods perhaps due...

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