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Dow Jones Stock Market Index (4/4): Trade Volume GARCH Model

January 8, 2019
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Dow Jones Stock Market Index (4/4): Trade Volume GARCH Model

CategoriesAdvanced Modeling Tags Data Visualisation Linear Regression R Programming This is the final part of the 4-series posts. In this fourth post, I am going to build an ARMA-GARCH model for Dow Jones Industrial Average (DJIA) daily trade volume log ratio. You can read the other three parts in the following links: part 1, part2, and part 3. Packages The packages being used in...

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Dow Jones Stock Market Index (3/4): Log Returns GARCH Model

January 7, 2019
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Dow Jones Stock Market Index (3/4): Log Returns GARCH Model

CategoriesAdvanced Modeling Tags Data Visualisation Linear Regression R Programming In this third post, I am going to build an ARMA-GARCH model for Dow Jones Industrial Average (DJIA) daily log-returns. You can read the first and second part which I published previously. Packages The packages being used in this post series are herein listed. suppressPackageStartupMessages(library(lubridate)) suppressPackageStartupMessages(library(fBasics)) suppressPackageStartupMessages(library(lmtest)) suppressPackageStartupMessages(library(urca)) suppressPackageStartupMessages(library(ggplot2)) suppressPackageStartupMessages(library(quantmod)) suppressPackageStartupMessages(library(PerformanceAnalytics)) suppressPackageStartupMessages(library(rugarch)) suppressPackageStartupMessages(library(FinTS)) suppressPackageStartupMessages(library(forecast)) suppressPackageStartupMessages(library(strucchange))...

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Dow Jones Stock Market Index (2/4): Trade Volume Exploratory Analysis

January 6, 2019
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Dow Jones Stock Market Index (2/4): Trade Volume Exploratory Analysis

CategoriesBasic Statistics Tags Data Visualisation Import Data R Programming This is the second part of the 4-series articles about Dow Jones Stock Market. To read the first part go to this link. In this part, I am going to analyze the Dow Jones Industrial Average (DJIA) trade volume. Packages The packages being used in this post series are herein listed. suppressPackageStartupMessages(library(lubridate)) suppressPackageStartupMessages(library(fBasics)) suppressPackageStartupMessages(library(lmtest)) suppressPackageStartupMessages(library(urca))...

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Dow Jones Stock Market Index (1/4): Log Returns Exploratory Analysis

January 5, 2019
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Dow Jones Stock Market Index (1/4): Log Returns Exploratory Analysis

CategoriesBasic Statistics Tags Data Visualisation Import Data R Programming In this four-post series, I am going to analyze the Dow Jones Industrial Average (DJIA) index on years 2007-2018. The Dow Jones Industrial Average (DIJA) is a stock market index that indicates the value of thirty large, publicly owned companies based in the United States. The value of the DJIA is based upon the sum...

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Leaf Plant Classification: Statistical Learning Model – Part 2

December 30, 2018
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Leaf Plant Classification: Statistical Learning Model – Part 2

CategoriesAdvanced Modeling Tags Linear Regression Principal Component Analysis R Programming In this post, I am going to build a statistical learning model as based upon plant leaf datasets introduced in part one of this tutorial. We have available three datasets, each one providing sixteen samples each of one-hundred plant species. The features are: shape texture margin Specifically, I will take advantage of Discrimination Analysis...

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Leaf Plant Classification: An Exploratory Analysis – Part 1

December 29, 2018
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Leaf Plant Classification: An Exploratory Analysis – Part 1

CategoriesGetting Data Tags Data Management Data Visualisation Exploratory Analysis R Programming In this post, I am going to run an exploratory analysis of the plant leaf dataset as made available by UCI Machine Learning repository at this link. The dataset is expected to comprise sixteen samples each of one-hundred plant species. Its analysis was introduced within ref. . That paper describes a method designed to...

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The Mcomp Package

January 2, 2018
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The Mcomp Package

Makridakis Competitions (also known as the M Competitions or M-Competitions) are a series of competitions organized by teams led by forecasting researcher Spyros Makridakis and intended to evaluate and compare the accuracy of different forecasting methods. So far three competitions have taken place, named as M1 (1982), M2 (1993) and M3 (2000). The fourth competition Related Post Building a Hacker...

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Tennis Grand Slam Tournaments Champions Basic Analysis

December 11, 2017
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Tennis Grand Slam Tournaments Champions Basic Analysis

The present tutorial analyses the Tennis Grand Slam tournaments main results from the statistical point of view. Specifically, I try to answer the following questions: – How to fit the distribution of the Grand Slam tournaments number of victories across players? – How to compute the probability of having player’s victories greater than a specific Related Post Oneway ANOVA Explanation...

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Outliers Detection and Intervention Analysis

December 4, 2017
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Outliers Detection and Intervention Analysis

In my previous tutorial Arima Models and Intervention Analysis we took advantage of the strucchange package to identify and date time series level shifts structural changes. Based on that, we were able to define ARIMA models with improved AIC metrics. Furthermore, the attentive analysis of the ACF/PACF plots highlighted the presence of seasonal patterns. In Related Post Spark DataFrames: Exploring...

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ARIMA models and Intervention Analysis

October 7, 2017
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ARIMA models and Intervention Analysis

In my previous tutorial Structural Changes in Global Warming I introduced the strucchange package and some basic examples to date structural breaks in time series. In the present tutorial, I am going to show how dating structural changes (if any) and then Intervention Analysis can help in finding better ARIMA models. Dating structural changes consists Related Post A Gentle Introduction...

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