Monthly Archives: January 2013

Using the Rcpp sugar function clamp

January 7, 2013
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Since the 0.10.* release series, Rcpp contains a new sugar function clamp which can be used to limit vectors to both a minimum and maximim value. This recent StackOverflow question permitted clamp to shine. We retake some of the answers, including the ...

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Internal Consistency Reliability in R with Lambda4

January 6, 2013
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For the last year I have been developing a package “Lambda4” to improve internal consistency reliability estimation.  In the package’s conception my primary concern centered on H.G. Osburn’s maximized lambda4 estimator.  Despite a very thorough search I could not find a stats package that could utilized Osburn’s method.  I wanted to learn R and so I jumped in and...

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Demonstrating Confidence Intervals with Shiny

January 6, 2013
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Demonstrating Confidence Intervals with Shiny

For the introductory statistic student confidence intervals can seem a daunting concept to grasp.  Quite simply put it is an interval that we have a certain measure of confidence that the population parameter falls into.  The 95% confidence is the most common value chosen in my academic circle.  Nevertheless, many others may be viable as well as long as...

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http://cran.r-project.org/web/packages/Lambda4/index.html

January 6, 2013
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http://cran.r-project.org/web/packages/Lambda4/index.html: Our own JackStat (Tyler) published his first package in R.

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Search and replace: Are you tired of nested `ifelse`?

January 6, 2013
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It happens all the time: you have a vector of fruits and you want to replace all bananas with apples, all oranges with pineapples, and leave all the other fruits as-is, or maybe change them all to figs. The usual solution? A big old nested `ifelse`: ...

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Demonstrate your R code with an interactive, embeddable Javascript widget

January 6, 2013
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Demonstrate your R code with an interactive, embeddable Javascript widget

Let visitors execute and play with simple R examples right on your web page, thanks to a web service and an embeddable widget provided by the Sage project.

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2012 Summary and 2013 Plans

January 6, 2013
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2012 Summary and 2013 Plans

2012 was a very important year for me. It was my first full year of trading only pure quantitative strategies. It was a very successful year as well, despite the fact that the S&P 500 returned 16% (including dividends) – a tough to beat benchmark. The strategy I use on the SPY, for which I

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Bayesian Classification with Gaussian Process

January 6, 2013
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Bayesian Classification with Gaussian Process

Despite prowess of the support vector machine, it is not specifically designed to extract features relevant to the prediction. For example, in network intrusion detection, we need to learn relevant network statistics for the network defense. In consu...

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More Principal Components Fun

January 6, 2013
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More Principal Components Fun

Today, I want to continue with the Principal Components theme and show how the Principal Component Analysis can be used to build portfolios that are not correlated to the market. Most of the content for this post is based on the excellent article, “Using PCA for spread trading” by Jev Kuznetsov. Let’s start by loading

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PLS Path Modeling with R: A Comprehensive Tutorial by Gaston Sanchez

January 6, 2013
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PLS Path Modeling with R: A Comprehensive Tutorial by Gaston Sanchez

Gaston Sanchez has just published an online pdf of his new book PLS Path Modeling with R.I have been using Gaston's plspm r package for a couple of years to analyze marketing data.  I started when I needed to test a path model in wh...

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