Welcome to Reproducible Finance 2019! It’s a new year, a new beginning, the Earth has completed one more trip around the sun, and that means it’s time to look back on the previous January to December cycle. Today and next time, we’ll explore the returns and volatilities of ...

Today, we continue our work on sampling so that we can run models on subsets of our data and then test the accuracy of the models on data not included in those subsets. In the machine learning prediction world, these two data sets are often called training data and testing ...

Having absorbed an average of 181 new packages each month over the last 28 months, CRAN is still growing at a pretty amazing rate. The following plot shows the number of new packages since I started keeping track in August 2016. This November, 171 new packages stuck to CRAN. Here is my selection for ...

Samuel Berchuck is a Postdoctoral Associate in Duke University’s Department of Statistical Science and Forge-Duke’s Center for Actionable Health Data Science. Joshua L. Warren is an Assistant Professor of Biostatistics at Yale University. Looking Forward in Glaucoma Progression Research The contribution of the womblR package and corresponding statistical ...

Samuel Berchuck is a Postdoctoral Associate in Duke University’s Department of Statistical Science and Forge-Duke’s Center for Actionable Health Data Science. Joshua L. Warren is an Assistant Professor of Biostatistics at Yale University. Analyzing Visual Field Data In Part I of this series on statistic in glaucoma, we ...

Samuel Berchuck is a Postdoctoral Associate in Duke University’s Department of Statistical Science and Forge-Duke’s Center for Actionable Health Data Science. Joshua L. Warren is an Assistant Professor of Biostatistics at Yale University. Introduction Glaucoma is a leading cause of blindness worldwide, with a prevalence of 4% in the ...

One hundred eighty-five new packages made it to CRAN in October. Here are my picks for the “Top 40” in eight categories: Computational Methods, Data, Machine Learning, Medicine, Science, Statistics, Utilities, and Visualization. Computational Methods compboost v0.1.0: Provides a C++ implementation of component-wise boosting written to obtain high run-time performance and ...

Today, we will return to the Fama French (FF) model of asset returns and use it as a proxy for fitting and evaluating multiple linear models. In a previous post, we reviewed how to run the FF three-factor model on the returns of a portfolio. That is, we ran one ...

A few years ago, when I first became aware of Topological Data Analysis (TDA), I was really excited by the possibility that the elegant theorems of Algebraic Topology could provide some new insights into the practical problems of data analysis. But time has passed, and the sober assessment of Larry ...

Moving predictive machine learning algorithms into large-scale production environments can present many challenges. For example, problems arise when attempting to calculate prediction probabilities (“scores”) for many thousands of subjects using many thousands of features located on remote databases. xgboost (docs), a popular algorithm for classification and regression, and the model ...

In my training as a consultant, I learned that long hours of analysis were typically followed by equally long hours of preparing for presentations. I had to turn my complex analyses into recommendations, and my success as a consultant depended on my ability to influence decision makers. I used a ...

I’m thrilled to announce the release of my new book Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis, which originated as a series of R Views posts in this space. The first post was written way back in November of 2016 - thanks to all the ...

It is a relatively rare event, and cause for celebration, when CRAN gets a new Task View. This week the r-miss-tastic team: Julie Josse, Nicholas Tierney and Nathalie Vialaneix launched the Missing Data Task View. Even though I did some research on R packages for a post on missing values ...

Searching for R packages is a vexing problem for both new and experienced R users. With over 13,000 packages already on CRAN, and new packages arriving at a rate of almost 200 per month, it is impossible to keep up. Package names can be almost anything, and they are rarely informative, so ...

We knew we were on to something important early on in the process of organizing R / Medicine 2018. Even during our initial attempts to articulate the differences between this conference and R / Pharma 2018, it became clear that the focus on the use of R and statistics in clinical settings was going ...