Monthly Archives: October 2012

Modeling Couch Potato strategy

October 25, 2012
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Modeling Couch Potato strategy

I first read about the Couch Potato strategy in the MoneySense magazine. I liked this simple strategy because it was easy to understand and easy to manage. The Couch Potato strategy is similar to the Permanent Portfolio strategy that I have analyzed previously. The Couch Potato strategy invests money in the given proportions among different

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Accelerating R code: Computing Implied Volatilities Orders of Magnitude Faster

October 25, 2012
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This blog, together with Romain's, is one of the main homes of stories about how Rcpp can help with getting code to run faster in the context of the R system for statistical programming and analysis. By making it easier to get already existing C or C++ code to R, or equally to extend R with new C++...

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My Goodness. What a Fat Dataset!

October 25, 2012
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My Goodness.  What a Fat Dataset!

Recently at work we got sent a data file containing information on donations to a specific charitable organization, ranging all the way back to the 80′s.  Usually, when we receive a dataset with a donation history in it, each row … Continue reading →

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Allstate compares SAS, Hadoop and R for Big-Data Insurance Models

October 25, 2012
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Allstate compares SAS, Hadoop and R for Big-Data Insurance Models

At the Strata conference in New York today, Steve Yun (Principal Predictive Modeler at Allstate's Research and Planning Center) described the various ways he tackled the problem of fitting a generalized linear model to 150M records of insurance data. He evaluated several approaches: Proc GENMOD in SAS Installing a Hadoop cluster Using open-source R (both on the full data...

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Notes on a Scandal – When Jimmy beat Katy

October 25, 2012
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Notes on a Scandal  – When Jimmy beat Katy

No the title doesn’t refer to how Katy Perry suffered at another of Jimmy Savile’s sexual predelictions, although these are two of  the participants. I’ll get to the details later Just over a year ago, I reflected on the relative wiki searches of leading female singing celebrities, including Ms Perry. In the light of the

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Palettes in R

October 25, 2012
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Palettes in R

In its simplest form, a palette in R is simply a vector of colors. This vector can be include the hex triplet or R color names.The default palette can be seen through palette(): > palette("default") # you'll only need this line if you've previ...

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NSCB Sexy Statistics (Unemployment)

October 25, 2012
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NSCB Sexy Statistics (Unemployment)

Recently, my friend posted on her Facebook account about the article published by the National Statistical Coordination Board (NSCB) about poverty and unemployment in the country.  Looking at the report I saw a lot of tables, so I thought why not ...

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How fat are your tails?

October 25, 2012
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How fat are your tails?

Lately I’ve been thinking about how to measure the fatness of the tails of a distribution. After some searching, I came across the Pareto Tail Index method. This seems to be used mostly in economics. It works by finding the decay rate of the tail. It’s complicated, both in formula and in it’s R implementation

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Congressional ideology by state

October 25, 2012
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Congressional ideology by state

In a recent post, I illustrated how to add a background geom to your ggplot. While that code worked, and the plot looked fine, it was pointed out to me that I was missing an important aspect of plot layering with ggplot2. Namely, it is not, as I previ...

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R function: generate a panel data.table or data.frame to fill with data

October 25, 2012
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I have started to work with R and STATA together. I like running regressions in STATA, but I do graphs and setting up the dataset in R. R clearly has a strong comparative advantage here compared to STATA. I was writing a function that will give me a (balanced) panel-structure in R. It then simply

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