Blog Archives

Speeding up model bootstrapping in GNU R

December 2, 2013
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After my last post I have recurringly received two questions: (a) is it worthwhile to analyze GNU R speed in simulations and (b) how would simulation speed compare between GNU R and Python. In this post I want to address the former question and next ti...

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Simulation speed: GNU R vs Julia

November 23, 2013
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Simulation speed: GNU R vs Julia

Recently there is a lot of noise about Julia. I have decided to test its speed in simulation tasks on my toy Cont model. I thought I had vectorized my GNU R code pretty well, but Julia is much faster.The model was described in my earlier posts so let us go down to a comparison:

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Simulatin speed: GNU R vs Julia

November 22, 2013
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Simulatin speed: GNU R vs Julia

Recently there is a lot of noise about Julia. I have decided to test its speed in simulation tasks on my toy Cont model. I thought I had vectorized my GNU R code pretty well, but Julia is much faster.The model was described in my earlier posts so let u...

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Calibration of p-value under variable selection: an example

November 14, 2013
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Calibration of p-value under variable selection: an example

Very often people report p-values for linear regression estimates after performing variable selection step. Here is a simple simulation that shows that such a procedure might lead to wrong calibration of such tests.Consider a simple data generating pro...

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Cont model – Part II

October 28, 2013
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Cont model – Part II

In my last post I have investigated properties of Cont model (you can download the paper here). Today I would like to show how we can use simulations to further simplify its analysis.First let us start with the observation that the model does not reall...

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Cont model back after a year

October 16, 2013
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Cont model back after a year

During ESSA2013 conference I had a discussion about Cont model I have commented a year ago.In original paper Cont highlights that his model produces distribution of returns characterized by positive excess kurtosis. In this post I want to investig...

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Visualizing optimization process

September 8, 2013
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Visualizing optimization process

One of the approaches to graph drawing is application of so called force-directed algorithms. In its simplest form the idea is to layout the nodes on plane so that all edges in the graph have approximately equal length. This problem has very intuitive ...

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Genetic drift simulation

August 13, 2013
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Genetic drift simulation

While preparing for the new teaching semester I have created an implementation of NetLogo GenDrift P local in GNU R.The model works as follows. Initially a square grid having side size is randomly populated with n types of agen...

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Testing function arguments in GNU R

June 28, 2013
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Recently I have read a nice post on ensuring that proper arguments are passed to a function using GNU R class system. However, I often need a more lightweight solution to repetitive function argument testing.The alternative idea is to test function arguments against a specified pattern given in a string. The pattern I use has the form:([argument...

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Testing function agruments in GNU R

June 28, 2013
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Recently I have read a nice post on ensuring that proper arguments are passed to a function using GNU R class system. However, I often need a more lightweight solution to repetitive function argument testing.The alternative idea is to test function arg...

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