This is a quick post on the importance of benchmarking time-series forecasts. First we need to reload the functions from my last few posts on times-series cross-validation. (I copied the relevant code at the bottom of this post so you don't have to find it).
Next, we need to load data for the S&P 500. To simplify things, and allow us to explore seasonality effects, I'm going to load monthly data, back to 1980.
Thursday, December 29, 2011
Monday, December 12, 2011
I've updated my time-series cross validation algorithm to fix some bugs and allow for a possible xreg term. This allows for cross-validation of multivariate models, so long as they are specified as a function with the following paramters: x (the series to model), xreg (independent variables, optional), newxreg (xregs for the forecast), and h (the number of periods to forecast). Note that h should equal the number of rows in the xreg matrix. Also note that you need to forecast the xreg object BEFORE forecasting your x object. For example, if you wish to forecast 12 months into the future, your xreg object should have 12 extra rows.
Monday, December 5, 2011
There's already a lot of great posts out there about poker hand evaluators, so I'll keep this short. Kenneth J. Shackleton recently released a very slick 5-card and 7-card poker hand evaluator called SpecialK. This evaluator is licensed under GPL 3, and is described in detail in 2 blog posts: part 1 and part 2. Since the provided code is open source, I felt free to hack around with it a bit, and ported the python source to R.