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Dec 2

Week in Review 021211 R Language

Posted by abiao at 10:08 | Code » R/Splus | Comments(0) | Reads(3851)
Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly concentrated on R language.

R-code for the algorithm of Ait-Sahalia: the Closed-Form expansion for the transition densities of diffusions by Professor Yacine Aït-Sahalia facilitates the Maximum Likelihood Estimation, the related papers and Matlab package can be downloaded directly at his website at Ait-Sahalia, but in case you are a R user, this is what you need.

R Memory Issue: insights on R memory issue, most of us have met it more or less.

Regression via Gradient Descent in R: detailed simple example demonstrating how to run a regression via Gradient descent in R: principle and codes.

Amelia II: A Program for Missing Data: An excellent R package for multiple imputation of missing data. I had a post introducing its first version at missing data imputation.

The Art of R Programming: A Tour of Statistical Software Design: the book title tells it, you can't miss it as a R user.

R Cheat Sheets: still having trouble remembering the exact commands in R? here is an excellent collection of R cheet sheets.

How to interpret Johansens' test results: simple while detailed examples guiding you through the basic knowledge how to interpret Johansenss test results for cointegration analysis.

Improving Trend-Following Strategies With Counter-Trend Entries: minor adjustments to strategies that can both improve their backtest performance and also reduce the real costs of trading.


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