Monthly Archives: June 2017

Online portfolio allocation with a very simple algorithm

By Yuri Resende   Today we will use an online convex optimization technique to build a very simple algorithm for portfolio allocation. Of course this is just an illustrative post and we are going to make some simplifying assumptions. The … Continue reading

Posted in R | Tagged , , , , | 3 Comments

When the LASSO fails???

By Gabriel Vasconcelos When the LASSO fails? The LASSO has two important uses, the first is forecasting and the second is variable selection. We are going to talk about the second. The variable selection objective is to recover the correct … Continue reading

Posted in R | Tagged , , , , , | 21 Comments

Non gaussian time-series, let’s handle it with score driven models!

By Henrique Helfer Motivation Until very recently, only a very limited classes of feasible non Gaussian time series models were available. For example, one could use extensions of state space models to non Gaussian environments (see, for example, Durbin and … Continue reading

Posted in R | Tagged , , , , , | 3 Comments

Complete Subset Regressions, simple and powerful

By Gabriel Vasconcelos The complete subset regressions (CSR) is a forecasting method proposed by Elliott, Gargano and Timmermann in 2013. It is as very simple but powerful technique. Suppose you have a set of variables and you want to forecast … Continue reading

Posted in R | Tagged , , , , | Leave a comment