[Read more...]

In studying R‘s connections source code, I’ve put together a series of notes about their workings. Rather than let the notes go where most of my notes go (I have no idea ), I decided to do some proofreading and make the notes available to others who might be ... [Read more...]

[Read more...]

I recently e-mailed David Smith of Revolution Analytics with a few questions about their relationship with the R-project, and how they handle R‘s source code. David mentioned, and I’m flattered that my email motivated an additional page on the Revolution website. Beyond this, I have no other relationship ... [Read more...]

Andrew Gelman wrote today about some erroneous U.S. Governor approval ratings, noting that the ratings for Janet Napolitano sum to 108%. In fact most of these ratings do not sum to 100%. I prepared a clean CSV file of the ratings, making use of R‘s XML library and the readHTMLTable ... [Read more...]

I’ve been continuing to muck around with using R inside of Amazon Elastic Map reduce jobs. I’ve been working on abstracting the lapply() logic so that R will farm the pieces out to Amazon EMR. This is coming along really well, thanks in no small part to the ... [Read more...]

I really like R‘s stem function, it creates a stem-and-leaf plot right in the R console, no fancy graphics devices required! In a recent R-help post, Ralf Bierig presented a very nice ASCII scatterplot representing two densities. Unfortunately, I don’t know of any R function that will generate ... [Read more...]

(This is the second of a series of ongoing posts on using Graph Algebra in the Social Sciences.) First-order linear difference equations are powerful, yet simple modeling tools.  They can provide access to useful substantive insights to real-world phenomena.  They can have powerful predictive ability when used appropriately.  Additionally, they ... [Read more...]

[Read more...]

[Read more...]

What languages and tools should you learn as a math/stat consultant?  To jump to the answer: Excel/VBA, SQL, R, Java, and Python. Spreadsheets have many problems with verifiability and scalability, so why Excel? Excel is: Useful for prototyping ideas quickly, either for your own use or to show ... [Read more...]

I find options fascinating because they deal with the abstract ideas of volatility and correlation, both of which are unobservable and can often seem like wild animal spirits (take the current stock market as an example). Understanding these subtle concepts is never easy, but it is essential in pricing some ... [Read more...]

[Read more...]

[Read more...]

A common model used in the financial industry for modelling the short rate (think overnight rate, but actually an infinitesimally short amount of time) is the Vasicek model. Although it is unlikely to perfectly fit the yield curve, it has some nice properties that make it a good model to ... [Read more...]

Back in November 2009 Wired wrote an article about some grad students who decided to try to stochastically model throwing darts. Because I don’t actually read printed material I didn’t see the article until a couple of months ago. My immediate thought was, “hey, I drink beer. I throw ... [Read more...]

[Read more...]

This is not really news. A few months ago, news broke that Facebook recorded each user’s clicks and profile views in a database. Of course, I am not at all surprised. I would be more surprised if they didn’t store every single click. By now, most people have ... [Read more...]

I think we all know that Morris Day was talking about when he wrote the lyrics to “The Bird”: Yes! Hold on now, this dance ain’t for everybody. Just the sexy people. White folks, you’re much too tight. You gotta shake your head like the black folks. You ... [Read more...]

The future of math is statistics… and the language of that future is R: I’ve often thought there was way too little “statistical intuition” in the workplace. I think Author Benjamin would agree. [Read more...]