1st YUIMA Summer School
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1st YUIMA Summer School

The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process aims at introducing researchers, PhD students and practitioners to several aspects of modern numerical and statistical analysis of time series through the R language and, in particular, the YUIMA package. The 4 days course covers topics of R programming, time series data handling, simulation and numerical analysis for several types of statistical models. Labs Introduction to R …
Introduction to R
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Introduction to R

In this introduction to R, the reader will master the basics of this beautiful open source language with hands-on experience. With over 2 million users worldwide R is rapidly becoming the leading programming language in statistics and data science. Every year, the number of R users grows by 40% and an increasing number of organizations are using it in their day-to-day activities. Tutorial
Paper Replication: Petersen 2009
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Paper Replication: Petersen 2009

The goal of this exercise is to replicate some of the results in Petersen (2009) using the R programming language. Estimating Standard Errors with a Firm Effect OLS and Rogers Standard Errors The author simulated a panel data set and then estimated the slope coefficient and its standard error. By doing this multiple times we can observe the true standard error as well as the average estimated standard errors. In …
Paper Replication: Lemmon, Roberts, and Zender (2008)
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Paper Replication: Lemmon, Roberts, and Zender (2008)

The goal of this exercise is to replicate some of the results in Lemmon, Roberts, and Zender (2008) using the R programming language. Persistence and the Cross-Section of Corporate Capital Structure The sample consists of all nonfinancial firms in the Compustat database from 1965 to 2003. To avoid Compustat data disclosure and to simplify data acquisition, you can download the csv file available at the following link. The file contains …
yuimaGUI: A Graphical User Interface for the ‘yuima’ Package
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yuimaGUI: A Graphical User Interface for the ‘yuima’ Package

The YUIMA Software performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. It also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of the Malliavin calculus. All models can be multidimensional, multiparametric or non …
RblDataLicense: Connecting R to Bloomberg Data License
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RblDataLicense: Connecting R to Bloomberg Data License

The RblDataLicense package aims at providing an easy R interface to access prices and market data with the Bloomberg Data License service, the technology that delivers Bloomberg’s data content sets. For the first time, users can directly program against Bloomberg’s comprehensive historical data, servicing the growing needs of data science. Unlike the Rblpapi package for Bloomberg Terminal users, RblDataLicense does not require the user to set up any working Bloomberg installation. As a prerequisite, a valid …