I recently stumbled across a series of `Mathematical Challenges’ as published by the swissQuant group: here’s the latest/current March 2014 challenge. It’s about a well-known regularization of a classical (mean-square) regression estimate and some of the problems – numerical challenges – associated to it. In this context I thought it to be worthwile to contrast the proposed LASSO-method with the Regularization Troika introduced in my elements vade mecum.
A friend emailed me: "I recently had a question from somebody I met at
R/Finance about using DFA for something they were doing. Their problem
seems to be univariate, so I grabbed I-DFA out of The Book (see 1) and set up a
little script for them.What a sweet little solution that is. Fast as hell and really powerful."
In this context I’d like to take the opportunity to post a recent student-thesis (industry partner was UBS) entitled "10 Year German Government Bond Yields: Three Month Forecast with Exponential Smoothing and Direct Filter Approach":
You may skip the German blurb and go straight to the main text. The document is `sweaved': results (tables/plots) were obtained by the (R-) code as edited in the document. DFA-code is from 1: sweet, fast and powerful.
In our revised DFA-paper 1 Tucker and I added a new section (section 5.2) on seasonal adjustment. This new material originates in a talk held at the Census Bureau, last August:
The term `Direct Seasonal Adjustment’ (DSA) refers to an application of
the Direct Filter Approach (DFA) to real-time seasonal adjustment
problems. Corresponding R-code is available (on request).
Here’s the newest (revised) trilemma paper co-authored with Tucker McElroy (Census Bureau, Washington):
R-code (Sweave-environment) is provided below.
Here’s the newest (revised) DFA-paper co-authored with Tucker McElroy (Census Bureau, Washington):
R-code (Sweave-environment) is provided below. Continue reading
Today I was working on my presentation for tomorrow’s talk on DSA (Direct Seasonal Adjustment) at the Census Bureau. Late this morning I made an interesting experiment… Continue reading
When trying to look at myself on the web (that happens even to the mildest ego) I found another SEFBlog: Save Elephant Foundation. That gave me to think… (try shrinking an elephant)
I here provide some general background motivating some of my recent methodological efforts… Continue reading
On August 1 (prior to this year’s JSM in Montréal) I published a tutorial on the `general H0-shrinkage’. But I discovered a stealth Bug in the time-shift constraint of I-MDFA. Revised code was published in 1. So here’s my refreshed tutorial. Be warned: this is advanced stuff: comprehensive understanding of I-MDFA is needed to avoid pitfalls (some results may appear counter-intuitive to the novice).