Posts Tagged ‘ R ’

Plotting the characteristic roots for ARIMA models

July 23, 2014
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Plotting the characteristic roots for ARIMA models

When modelling data with ARIMA models, it is sometimes useful to plot the inverse characteristic roots. The following functions will compute and plot the inverse roots for any fitted ARIMA model (including seasonal models). # Compute AR roots arroots <- function(object) { if(class(object) != "Arima" & class(object) != "ar") stop("object must be of class Arima or ar") if(class(object) == "Arima") parvec <- object$model$phi else parvec <- object$ar if(length(parvec) > 0)…

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Notes from the 2nd R in Insurance Conference

July 22, 2014
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Notes from the 2nd R in Insurance Conference

The 2nd R in Insurance conference took place last Monday, 14 July, at Cass Business School London. This one-day conference focused once more on applications in insurance and actuarial science that use R. Topics covered included reserving, pricing, loss...

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UseR 2014, days 3-4

July 21, 2014
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UseR 2014, days 3-4

Three weeks ago, I’d commented on the first two days of the UseR 2014 conference. I’m finally back to talk about the second half. Dirk Eddelbuettel on Rcpp Dirk Eddelbuettel gave a keynote on Rcpp [slides]. The goal of Rcpp is to have “the speed of C++ with the ease and clarity of R.” He […]

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The Rise and Fall of the name of Jennifer

July 20, 2014
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The Rise and Fall of the name of Jennifer

A recent fascinating post by Analysis at Large got me interested in naming trends analysis. The original post used Social Security data by state to map out the more frequent names by state. While this sounded interesting it turned out a single name (yo...

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Why hadn’t I written a function for that?

July 17, 2014
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Why hadn’t I written a function for that?

I’m often typing the same bits of code over and over. Those bits of code really should be made into functions. For example, I’m still using base graphics. (ggplot2 is on my “to do” list, really!) Often some things will be drawn with a slight overlap of the border of the plotting region. And in […]

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Compile R and OpenBLAS from Source Guide

Compile R and OpenBLAS from Source Guide

1. Get OpenBLAS 2.1 Get R 2.2 Specific Instructions for DSS Users 3. Validation 4. Benchmark This guide is intended to aid any R and Linux user who desires a threaded version of BLAS. In particular I hope this will allow other grad students, who like me do not have many user privileges on their […] The post Compile R and OpenBLAS from Source Guide appeared first on Lindons Log.

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Variations on rolling forecasts

July 15, 2014
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Variations on rolling forecasts

Rolling forecasts are commonly used to compare time series models. Here are a few of the ways they can be computed using R. I will use ARIMA models as a vehicle of illustration, but the code can easily be adapted to other univariate time series models. One-step forecasts without re-estimation The simplest approach is to estimate the model on a single set of training data, and then compute one-step forecasts…

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another R new trick [new for me!]

July 15, 2014
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another R new trick [new for me!]

While working with Andrew and a student from Dauphine on importance sampling, we wanted to assess the distribution of the resulting sample via the Kolmogorov-Smirnov measure where F is the target.  This distance (times √n) has an asymptotic distribution that does not depend on n, called the Kolmogorov distribution. After searching for a little while, […]

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Simple user interface in R to get login details

July 15, 2014
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Simple user interface in R to get login details

Occasionally I have to connect to services from R that ask for login details, such as databases. I don't like to store my login details in the R source code file, instead I would prefer to enter the my login details when I execute the code.Fortunately,...

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implementing reproducible research [short book review]

July 14, 2014
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implementing reproducible research [short book review]

As promised, I got back to this book, Implementing reproducible research (after the pigeons had their say). I looked at it this morning while monitoring my students taking their last-chance R exam (definitely last chance as my undergraduate R course is not reconoduced next year). The book is in fact an edited collection of papers […]

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