2450 search results for "Time series"

Horizon plots with ggplot2, sort-of

August 19, 2012
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Horizon plots with ggplot2, sort-of

The Timely Portfolio blog via R-bloggers has recently published some interesting entries about the value of horizon plots for visual comparison of a number of time series. Very nice it looks too. You can read more about them here. The trick to understanding them is to imagine that each row was orginally a line chart … Continue reading...

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Yet Another Forecast Dashboard

July 30, 2012
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Yet Another Forecast Dashboard

Recently, I came across quite a few examples of time series forecasting using R. Here are some examples: Time series cross-validation 4: forecasting the S&P 500 Holt-Winters forecast using ggplot2 Autoplot: Graphical Methods with ggplot2 Large-Scale Parallel Statistical Forecasting Computations in R (2011) by M. Stokely, F. Rohani, E. Tassone Forecasting time series data ARIMA

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R Journal, June 2012

July 20, 2012
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The June 2012 issue of the R Journal, the peer-reviewed open-journal about R packages and applications of R, is now available. This issue includes articles about: Efficiently calling C functions from R without the need for wrapper code Using clusters of Macs running Apple Xgrid for parallel distributed processing with R Semi-automated text classification with the 'maxent' package Two...

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Trends in AL run scoring (using R)

July 14, 2012
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I have started to explore the functionality of R, the statistical and graphics programming language. And with what better data to play than that of Major League Baseball?There have already been some good examples of using R to analyze baseball data. The most comprehensive is the on-going series at The Prince of Slides (Brian Mills, aka...

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Cubism Horizon Charts in R

June 15, 2012
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Cubism Horizon Charts in R

Like many, I have been in awe of the d3.js and cubism.js visualization packages created by Mike Bostock. Mike Bostock @ Square talks about Time Series Visualization from Librato on Vimeo. The charts are beautiful and extraordinarily functional, so I th...

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More on birthday probabilities

June 15, 2012
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More on birthday probabilities

Last week, Joe Rickert used R and four years of US Census data to create an image plot of the relative probabilities of being born on a given day of the year: Chris Mulligan also tackled this problem with R, but this time using 20 years of Census data from 1969 to 1988. Chris extracted the birthday frequencies using...

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Autoplot: Graphical Methods with ggplot2

June 11, 2012
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Autoplot:  Graphical Methods with ggplot2

Background As of ggplot2 0.9.0 released in March 2012, there is a new generic function autoplot.  This uses R's S3 methods (which is essentially oop for babies) to let you have some simple overloading of functions.  I'm not going to get deep into oop, because honestly we don't need to. The idea is very simple.  If I say "I'm...

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Constants and ARIMA models in R

June 5, 2012
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Constants and ARIMA models in R

This post is from my new book Forecasting: principles and practice, available freely online at OTexts.com/fpp/. A non-seasonal ARIMA model can be written as (1)   or equivalently as (2)   where is the backshift operator, and is the mean of . R uses the parametrization of equation (2). Thus, the inclusion of a constant in a non-stationary ARIMA...

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Variability in maximum drawdown

June 4, 2012
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Variability in maximum drawdown

Maximum drawdown is blazingly variable. Psychology Probably the most salient feature that an investor notices is the amount lost since the peak: that is, the maximum drawdown. Just because drawdown is noticeable doesn’t mean it is best to notice. Statistics The paper “About the statistics of the maximum drawdown in financial time series” explores drawdown … Continue reading...

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Universal portfolio, part 3

June 3, 2012
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Universal portfolio, part 3

After the theoretical analysis, section 8 of Universal Portfolios provides examples.  We now use logopt and R to reproduce them, the first three in this post.The examples of Universal Portfolios use a long time series...

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