Trading Strategies Performance Report with R and Knitr

October 18, 2013
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Trading Strategies Performance Report with R and Knitr

I’ve been looking for template reports using R and Knitr for a while but I didn’t find anything that suits my needs so far. I therefore decided to create them myself. What I like to see about trading strategies are basic performance charts (daily, monthly and yearly), some basic trading statistics and above all most […]

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Open sourcing movide, a student-centric learning platform

October 18, 2013
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Open sourcing movide, a student-centric learning platform

I haven't blogged in a while, mostly because I have been trying to figure out what I should do next. One thing that I have been working on lately that I am very passionate about is Movide. Movide is a student-centric learning platform. You might yawn at this point and wonder why Movide matters. It's a natural reaction, given the crowded learning tools marketplace. Movide, matters, I think, because it…

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EP and ABC

October 18, 2013
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EP and ABC

Expectation propagation and approximate Bayesian computation. Here are X’s comments on a paper, “Expectation-Propagation for Likelihood-Free Inference,” by Simon Barthelme and Nicolas Chopin. The paper is not new but the topic is still hot. Also there’s this paper by Maurizio Filippone and Mark Girolami on computation for Gaussian process models. I wonder how this connects […]The post EP and ABC appeared first on Statistical Modeling, Causal Inference, and Social Science.

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Platforms and Integration in Statistical Research (Part 2/2)

October 18, 2013
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In my last post, I talked about two general approaches to conducting statistical research: platforms and integration. In this followup I thought I'd describe the characteristics of certain fields that suggesting taking one approach over another. I think in practice, … Continue reading →

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Rotating matrices

October 18, 2013
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Rotating matrices

This article is about rotating matrices. No, I don't mean "rotation matrices," I mean rotating matrices. As in turning a matrix 90 degrees in a clockwise or counterclockwise direction. I was reading a program written in MATLAB in which the programmer used a MATLAB function called ROT90, which rotates a [...]

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G+ hangout for Bayesian Data Analysis course now! (actually, in 5 minutes)

October 18, 2013
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Here’s the link. When you’re on the hangout, please mute your own microphone! I’ll have the computer point at the blackboard. You can follow along with the slides: for the first hour for the second hour P.S. Apparently there is some limit on number of hangout participants (see comments). I didn’t know about that! Maybe […]The post G+ hangout for Bayesian Data Analysis course now! (actually, in 5 minutes) appeared…

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Three jobs at Monash

October 18, 2013
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Three jobs at Monash

We are currently advertising for three academic positions, suitable for recent PhD graduates. Lecturer (Applied Statistics or Operations Research) Five-year position with MAXIMA and the School of Mathematical Sciences Two positions available. Applicat...

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drawing surface plots on the IR³ simplex

October 17, 2013
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drawing surface plots on the IR³ simplex

As a result of a corridor conversation in Warwick, I started looking at distributions on the IR³ simplex, and wanted to plot the density in a nice way. As I could not find a proper package on CRAN, the closer being the BMAmevt (for Bayesian Model Averaging for Multivariate Extremes) R package developed by a […]

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P-value fallacy alive and well: Latest case in Scientific Reports

October 17, 2013
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P-value fallacy alive and well: Latest case in Scientific Reports

Erratum (10/17/13): The paper was published in Scientific Reports, an OA journal from the publishers of Nature, and not in the Journal Nature as originally reported. Clarification (10/17/13): The paper discussed here is quite good overall and very interesting. I do not believe that anything in this post calls into question any of its main […]

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What R Has Been Missing

October 17, 2013
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What R Has Been Missing

While R has more methods than any other analytics software, it has been missing a crucial feature found in most other packages. SPSS Modeler had it first, way back when they still called it Clementine. Then SAS Institute realized how crucial … Continue reading →

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The @fivethirtyeight effect – watching @walthickey gain Twitter followers in real time

October 17, 2013
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The @fivethirtyeight effect – watching @walthickey gain Twitter followers in real time

Last night Nate Silver announced that he had hired Walt Hickey away from Business Insider to be an editor for the new http://www.fivethirtyeight.com/ website with a couple of tweets: Super excited to announce that 538 is hiring @WaltHickey, the talented young … Continue reading →

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Cool dynamic demographic maps provide beautiful illustration of Chris Rock effect

October 17, 2013
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Cool dynamic demographic maps provide beautiful illustration of Chris Rock effect

Robert Gonzalez reports on some beautiful graphs from John Nelson. Here’s Nelson:   The sexes start out homogenous, go super segregated in the teen years, segregate for business in the twenty-somethings, and re-couple for co-habitation years.  Then the lights fade into faint pockets of pink.   I [Nelson] am using simple tract-level population/gender counts from […]The post Cool dynamic demographic maps provide beautiful illustration of Chris Rock effect appeared first…

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beta HPD

October 17, 2013
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beta HPD

While writing an introductory chapter on Bayesian analysis (in French), I came by the issue of computing an HPD region when the posterior distribution is a Beta B(α,β) distribution… There is no analytic solution and hence I resorted to numerical resolution (provided here for α=117.5, β=115.5): and got the following return: which was enough for […]

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G+ hangout for test run of BDA course

October 17, 2013
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Try this link. . . . OK, it worked (as well as might be expected given that we don’t have any professional audiovisual people involved). Tomorrow 8h30, I’ll post a new link with the new G+ hangout. We’ll be going through the first two sets of slides (class1a.pdf and class1b.pdf) following the link for the […]The post G+ hangout for test run of BDA course appeared first on Statistical Modeling,…

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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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accelerated ABC

October 16, 2013
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accelerated ABC

On the flight back from Warwick, I read a fairly recently arXived paper by Umberto Picchini and Julie Forman entitled “Accelerating inference for diffusions observed with measurement error and large sample sizes using Approximate Bayesian Computation: A case study” that relates to earlier ABC works (and the MATLAB abc-sde package) by the first author (earlier […]

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Le Tour

October 16, 2013
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Le Tour

Today I've given the talk on the model for structural zeros and the related R package BCEs0 for the third time in three weeks (this time it was at the London School of Hygiene and Tropical Medicine).Le Tour is going quite well, I think $-$ in...

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Wily data analysis

October 16, 2013
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When comparison of two sets of data is made, often only the mean and standard deviation is compared, with no reference to the actual spread of the values. This tends to manifest in the form of a bar chart showing the mean of each variable with an error...

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Numbersense Pros: Interview with Larry Cahoon Part 2

October 16, 2013
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Yesterday, Larry Cahoon, a 29-year veteran at the Census Bureau, answered some questions. The rest of the interview is printed below. *** KF: How can a data analyst improve his or her skills? LC: I have to say my best training has been many, many hours of just playing with statistics, playing with graphics, and reading the analysis others have done. The more data I see, the more analysis I…

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Deconstructing the map of beers

October 16, 2013
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Deconstructing the map of beers

B usiness Insider links to this blog with a chart depicting the top beer brands by state. I like the quilt-like appearance brought on by using the packaging of different brands. The nine glowing yellow islands sitting in the Atlantic...

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Test run for G+ hangout for my Bayesian Data Analysis class

October 16, 2013
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As announced earlier, I’ll be putting my Bayesian Data Analysis course on a G+ hangout. It meets each Friday 8h30 Paris time, starting 18 Oct. Just to try things out, I’ll do a mini-hangout tomorrow (Thurs) 8h30. What I’ll do is set up the hangout, then post the url in a new blog post. I’ll […]The post Test run for G+ hangout for my Bayesian Data Analysis class appeared first…

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Network Estimation for Time Series

October 16, 2013
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Matteo Barigozzi and Christian Brownlees have a fascinating new paper, "Network Estimation for Time Series" that connects the econometric time series literature and the statistical graphical modeling (network) literature. It's not only useful, but...

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A first step towards R from spreadsheets

October 16, 2013
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A first step towards R from spreadsheets

Move your data analysis to a computing environment specifically designed for it. Why R and not spreadsheets? Here are three reasons: complexity graphics money Spreadsheets are easily overwhelmed.  Very complex things can be done in spreadsheets — it is just that complex spreadsheets are inefficient and dangerous. Graphics should be considered vital when doing anything with […] The post A first step towards R from spreadsheets appeared first on Burns Statistics.

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