by B. W. Lewis This note warns about potentially misleading results when using the use=pairwise.complete.obs and related options in R’s cor and cov functions. Pitfalls are illustrated using a very simple pathological example followed by a brief list of alternative ways to deal with missing data ... [Read more...]

[Read more...]

I like the Economist theme in the latticeExtra package. It produces nice looking charts that mimic the design of the weekly newspaper, such as in this example:For some time I wondered how I could put the title of my lattice plots into the top left corner as well (by ... [Read more...]

For the next few weeks I am travelling in North America and will be giving the following talks. 19 June: Southern California Edison, Rosemead CA. “Probabilistic forecasting of peak electricity demand”. 23 June: International Symposium on Forecasting, Riverside CA. “MEFM: An R package for long-term probabilistic forecasting of electricity demand”. 25 June: Google, ... [Read more...]

[Read more...]

IntroductionPeople are weird. And if there's anything that's greater collective proof of this fact than Reddit, you'd be hard pressed to find it.I tend to put reddit in the same bucket as companies like Google, Amazon and Netflix, where they have enoug... [Read more...]

[Read more...]

I’m super-pleased to announce that the Benevolent CRAN Overlords accepted the metricsgraphics package into CRAN over the weekend. Now, you no longer need to rely on github/devtools to use MetricsGraphics.js charts from your R scripts. If you’re not familiar with htmlwidgets, take a look at the ... [Read more...]

The R package spdep has great utilities to define spatial neighbors (e.g. dnearneigh, knearneigh, with a nice vignette to boot), but the plotting functionality is aimed at base graphics. If you’re hoping to plot spatial neighborhoods as line segments in ggplot2, or ggmap, you’ll need the neighborhood ... [Read more...]

[Read more...]

For anyone who works with financial data and has access to a Bloomberg terminal, there is a new R package to interface to Bloomberg data services: RBlpapi. (If you had searched for an R connection to Bloomberg you wouldn’t have found this one — Bloomberg is happy to have software ... [Read more...]

[Read more...]

As a precursor to releasing Episode 18 of DDSec Podcast, we’re releasing a really basic R package to interface with the PassiveTotal API. We asked Brandon Dixon to be on the podcast to talk about his new visualization for users of PassiveTotal, which is a “threat research platform created for ... [Read more...]

In Advanced Measurement Approaches (AMA) for Operational Risk models, the bank needs to segment operational losses into homogeneous segments known as “Unit of Measures (UoM)”, which are often defined by the combination of lines of business (LOB) and Basel II event types. However, how do we support whether the losses ... [Read more...]

Setting up Spark and SparkR is quite easy (assume you are running v.1.4): just grab one of the pre-built binaries and unzip to a folder. There is also a shell script to start SparkR from command line. The document suggest to put the following linesSys.... [Read more...]

In this post we will walk through the steps required to build a shiny app that mimicks a Google Form. It will allow users to submit responses to some input fields, save their data, and allow admins to view the submitted responses. Like many of my other posts, it may ... [Read more...]

I am thinking about a new laptop. For one thing a 1366*768 resolution just seems to get impractically small. Secondly, faster comutations, more memory.Regarding CPU speed, my current laptop has a lowly Celeron 877. From what I see at my computers activ... [Read more...]

I'm currently working with a client who is researching best covariance matrices for financial time series.  Specifically, they are looking at what best describes 1 month out of sample distributions.  They are not concerned with the means, just the variance.A paper on the subject from the Journal of Portfolio Management ... [Read more...]

[Read more...]

This tutorial is dedicated to Vincent and to Erwan, the former for proposing me an interesting challenge to solve with R and the latter for his suspicious remarks about the language not being suited for this kind of task. Disclaimer: of course, this script can not be used on a ... [Read more...]