I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods that focuses on diversification or more specifically diversification of your risk bets. (i.e. portfolio that ... [Read more...]

Matt Maenner asked about the sawtooth pattern in the figure in my last post on Chutes & Ladders. Damn you, Matt! I thought I was done with this. Don’t feed my obsession. My response was that if the game ends early, it’s even more likely that it’ll be ... [Read more...]

Recently I have run an exam where the following question had risen many problems for students (here I give its shortened formulation). You are given the data generating process y = 10x + e, where e is error term. Fit linear regression using lm, ne... [Read more...]

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Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in “Implied alpha — almost wordless”. In a comment to that post Jeff noticed that the optimal portfolio given for the example is ever so close to the minimum variance portfolio.  That is because there is a ... [Read more...]

for those interested in the real estate and rental markets of the big apple, the census bureau's nyc housing and vacancy survey might be your key to the city.  if you care about how many new york residents live more than one person per room (a lot... [Read more...]

Introduction The Ideal Gas Law, , is a very simple yet useful relationship that describes the behaviours of many gases pretty well in many situations.  It is “Ideal” because it makes some assumptions about gas particles that make the math and the physics easy to work with; in fact, the simplicity ... [Read more...]

In a previous post, a few weeks ago, I mentioned that I will be in Las Vegas by the end of July. And I took the opportunity to write a post on roulette(s). Since some colleagues told me I should take some time to play poker there, I guess ... [Read more...]

In the previous post I outlined how to query the XTide software with R and parse the results into a handy-dandy data frame. The biggest hurdle with that method is getting XTide up and running on your computer. The code outlined here works entirely within R, so you don’t ... [Read more...]

If you want to create rainfall maps for the whole world in R there is no readily available code or package to do this. Moreover, data publicly available from research institutions is not generally in plain text format or other familiar formats. Hydrological and climatological studies sometimes require rainfall data ... [Read more...]

Introduction This is the first of a series of posts on exploratory data analysis (EDA).  This post will calculate the common summary statistics of a univariate continuous data set – the data on ozone pollution in New York City that is part of the built-in “airquality” data set in R.  This ... [Read more...]

I just pushed the most recent version of the PSID panel data builder introduced a little while ago. Got some user feedback and made some improvements. The package is hosted on github.News:I added a reproducible example using artificial data which you c... [Read more...]

[This article was first published on Yet Another Blog in Statistical Computing » S+/R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want to share your content on R-bloggers? click here if you have a blog, or here if you don't. data(iris) str(iris) # OUTPUT: # 'data.frame': 150 obs. of 5 variables: # $ Sepal.Length: num 5.1 4.9 4.7 4.6 5 5.4 4.6 5 4.4 4.9 ... # $ Sepal.Width : num 3.5 3 3.2 3.1 3.6 3.9 3.4 3.4 2.9 3.1 ... # $ Petal.Length: num 1.4 1.4 1.3 1.5 1.4 1.7 1.4 1.5 1.4 1.5 ... # $ Petal.Width : num 0.2 0.2 0.2 0.2 0.2 0.4 0.3 0.2 0.2 0.1 ... # $ Species : Factor w/ 3 levels "setosa","versicolor",..: 1 1 1 1 1 1 1 1 1 1 ... ### CONVERT THE FACTOR TO DUMMIES ### library(caret) dummies <- predict(dummyVars(~ Species, data = iris), newdata = iris) head(dummies, n = 3) # OUTPUT: # Species.setosa Species.versicolor Species.virginica # 1 1 0 0 # 2 1 0 0 # 3 1 0 0 ### CONVERT DUMMIES TO THE FACTOR ### header <- unlist(strsplit(colnames(dummies), '[.]'))[2 * (1:ncol(dummies))] species <- [...] [Read more...]

I started working with R 2 1/2 years ago. I remember opening R closing it and thinking it was the dumbest thing ever (command line to a non programmer is not inviting). Now it’s my constant friend. From the beginning … Continue reading → [Read more...]

I use both GNU-Linux and Windows systems on a regular basis… so I’m aware of the advantages (more for GNU-Linux in my case) and disadvantages of both. Recently I needed to analyse a database from a remote location, an Excel … Sigue leyendo → [Read more...]

Every month I see one or more new R based web server solutions coming into the market, sight seeing some of them thought of sharing one of my old architecture map manifested to the client long back in early 2009 (good to see quick spreading of scalable... [Read more...]

I am currently working on a validation metric for binary prediction models. That is, models which make predictions about outcomes that can take on either of two possible states (eg Dead/not dead, heads/tails, cat in picture/no cat in picture, etc.) The most commonly used metric for this ... [Read more...]

Here is a summary of some recent changes to caret. Feature Updates: train was updated to utilize recent changes in the gbm package that allow for boosting with three or more classes (via the multinomial distribution) The Yeo-Johnson power transformation was added. This is very similar to the Box-Cox transformation, ... [Read more...]

After reading this post (thanks to him), I think it could be interesting to replicate this with some specific up of french language and to see and we can perform rapid view of the debate between Sarkozy and Hollande of the last 2nd round of presidentia... [Read more...]

I was reading Paul Hiemsta's blogpost on Much more efficient bubble sort in R using the Rcpp and inline packages, went back to his first post  Bubble sort implemented in pure R and thought, surely we can do it better in pure R. So I... [Read more...]