The task today was to find what variables had significant relations with an important grouping variable in the big dataset I’ve been working with lately.  The grouping variable has 3 levels, and represents different behaviours of interest.  At first I … Continue reading → [Read more...]

Github has made data on its code repositories, developer updates, forks etc. from the public GitHub timeline available for analysis, and is offering prizes for the most interesting visualization of the data. Sounds like a great challenge for R programmers! The R language is currently the 26th most popular on ... [Read more...]

The latest local R user group to join the fold is the Köln R User Group, now the sixth R user group in Germany. Their first group meeting will be on July 6, with presentations on ANOVA, ggplot2 graphics in Deducer, and writing R code with Emacs's Org-mode. If you're ... [Read more...]

In this post, I give a very simple trick to understand the way a package is organized, which functions are included in and how these functions depend from each others. The idea has been brought by one of my student, Soraya, who is currently working in a very hostile environment, ... [Read more...]

Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance. I will use the Average True Range (ATR) as a measure of Volatility and will increase allocation during low Volatility periods and will decrease allocation during high Volatility periods. Following are two ... [Read more...]

In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the ... [Read more...]

Information Age recently published a feature article devoted to the R language, "Putting the R in analytics". Says author Pete Swabey: Already popular in universities, there are signs that R is finding increasing adoption in the enterprise. This promises to lower the barriers of entry for advanced analytics, and may ... [Read more...]

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I’m a bit obsessive with words. May be I should have used learning in the title, rather than teaching code. Or perhaps remembering code. You know? Code where one actually has very clear idea of what is going on; for … Continue reading → [Read more...]

I have just got back from the 24 hour Data Science Global Hackathon; I was an on-site participant at Hub Westminster in London (thanks to Carlos and his team for doing such a great job looking after us all {around 50 turned up from the 100 who registered; the percentage was similar in ... [Read more...]

This is Part II of a multi part blog on the paste2 function… In my first post on the paste2 function I promised a proof of a few practical uses.  The first example I have comes from psychometrics and comes out of … Continue reading → [Read more...]

In the motivating toy example to our ABC model choice paper, we compare summary statistics, mean, median, variance, and… median absolute deviation (mad). The latest is the only one able to discriminate between our normal and Laplace models (as now discussed on Cross Validated!). When rerunning simulations to produce nicer ... [Read more...]

This is Part I of a multi part blog on the paste2 function… I recently generated a new paste function that takes an unspecified list of equal length variables (a column) or multiple columns of a data frame  and pastes … Continue reading → [Read more...]

Although I am most familiar with R for statistical analysis and programming, I also use a fair amount of SAS at work. I found it a huge transition at first, but one thing that helped make SAS “click” for me … Continue reading → [Read more...]

Yesterday I tried to do some data processing on my really big data set in MS Excel. Wow, did it not like handling all those data!! Every time I tried to click on a different ribbon, the screen didn’t even … Continue reading → [Read more...]

I love to benchmark.  Maybe I’m a bit weird but I love to bench  everything in R.  Recently I’ve had people raise accuracy challenges to the typical system.time and rbenchmark package approaches to benchmarking.  I saw Hadley Wickham promoting the … Continue reading → [Read more...]

With more than 5,000 R packages now available (from the CRAN and BioConductor repositories), for any statistical or data analysis procedure you can confidently say, "there's a package for that". To make it easier for SAS and SPSS users to find what they need in R, Bob Muenchen has updated his ... [Read more...]

R-Bloggers has recently been buzzing about Julia, the new kid on the statistical programming block. Julia, however, is hardly the sole contender for the market of R defectors, with Clojure-fork Incanter generating buzz as well. Even with these two making noise, I think there’s a huge point that everyone ... [Read more...]

The R language has passed another milestone, a paper aimed at the academic programming language community (or at least one section of this community) has been written about it, Evaluating the Design of the R Language by Morandat, Hill, Osvald and Vitek. Hardly earth shattering news, but it may have ... [Read more...]

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