R packages by shabbychef

madness - Automatic Differentiation of Multivariate Operations

An object that supports automatic differentiation of matrix- and multidimensional-valued functions with respect to multidimensional independent variables. Automatic differentiation is via 'forward accumulation'.

Last updated 4 years ago

6.59 score 31 stars 3 dependents 28 scripts 300 downloads

SharpeR - Statistical Significance of the Sharpe Ratio

A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method. The statistical foundations of the Sharpe can be found in the author's Short Sharpe Course <doi:10.2139/ssrn.3036276>.

Last updated 1 months ago

6.18 score 19 stars 53 scripts 406 downloads

BWStest - Baumgartner Weiss Schindler Test of Equal Distributions

Performs the 'Baumgartner-Weiss-Schindler' two-sample test of equal probability distributions, <doi:10.2307/2533862>. Also performs similar rank-based tests for equal probability distributions due to Neuhauser <doi:10.1080/10485250108832874> and Murakami <doi:10.1080/00949655.2010.551516>.

Last updated 1 years ago

cpp

5.92 score 2 stars 13 dependents 24 scripts 8.9k downloads

sadists - Some Additional Distributions

Provides the density, distribution, quantile and generation functions of some obscure probability distributions, including the doubly non-central t, F, Beta, and Eta distributions; the lambda-prime and K-prime; the upsilon distribution; the (weighted) sum of non-central chi-squares to a power; the (weighted) sum of log non-central chi-squares; the product of non-central chi-squares to powers; the product of doubly non-central F variables; the product of independent normals.

Last updated 4 years ago

5.48 score 8 stars 1 dependents 25 scripts 310 downloads

fromo - Fast Robust Moments

Fast, numerically robust computation of weighted moments via 'Rcpp'. Supports computation on vectors and matrices, and Monoidal append of moments. Moments and cumulants over running fixed length windows can be computed, as well as over time-based windows. Moment computations are via a generalization of Welford's method, as described by Bennett et. (2009) <doi:10.1109/CLUSTR.2009.5289161>.

Last updated 2 months ago

cumulantsmomentsrolling-statisticsstatisticscpp

5.22 score 3 stars 22 scripts 405 downloads

ggallin - Grab Bag of 'ggplot2' Functions

Extra geoms and scales for 'ggplot2', including geom_cloud(), a Normal density cloud replacement for errorbars; transforms ssqrt_trans and pseudolog10_trans, which are loglike but appropriate for negative data; interp_trans() and warp_trans() which provide scale transforms based on interpolation; and an infix compose operator for scale transforms.

Last updated 4 years ago

5.15 score 16 stars 178 scripts 215 downloads

MarkowitzR - Statistical Significance of the Markowitz Portfolio

A collection of tools for analyzing significance of Markowitz portfolios, using the delta method on the second moment matrix, <arxiv:1312.0557>.

Last updated 4 years ago

4.88 score 5 stars 15 scripts 265 downloads

mazealls - Generate Recursive Mazes

Supports the generation of parallelogram, equilateral triangle, regular hexagon, isosceles trapezoid, Koch snowflake, 'hexaflake', Sierpinski triangle, Sierpinski carpet and Sierpinski trapezoid mazes via 'TurtleGraphics'. Mazes are generated by the recursive method: the domain is divided into sub-domains in which mazes are generated, then dividing lines with holes are drawn between them, see J. Buck, Recursive Division, <http://weblog.jamisbuck.org/2011/1/12/maze-generation-recursive-division-algorithm>.

Last updated 1 years ago

4.74 score 46 stars 24 scripts 112 downloads

rnnmf - Regularized Non-Negative Matrix Factorization

A proof of concept implementation of regularized non-negative matrix factorization optimization. A non-negative matrix factorization factors non-negative matrix Y approximately as L R, for non-negative matrices L and R of reduced rank. This package supports such factorizations with weighted objective and regularization penalties. Allowable regularization penalties include L1 and L2 penalties on L and R, as well as non-orthogonality penalties. This package provides multiplicative update algorithms, which are a modification of the algorithm of Lee and Seung (2001) <http://papers.nips.cc/paper/1861-algorithms-for-non-negative-matrix-factorization.pdf>, as well as an additive update derived from that multiplicative update. See also Pav (2004) <doi:10.48550/arXiv.2410.22698>.

Last updated 3 months ago

4.48 score 4 scripts 471 downloads

cocktailApp - 'shiny' App to Discover Cocktails

A 'shiny' app to discover cocktails. The app allows one to search for cocktails by ingredient, filter on rating, and number of ingredients. The package also contains data with the ingredients of nearly 26 thousand cocktails scraped from the web.

Last updated 3 years ago

4.33 score 43 stars 5 scripts 242 downloads

ohenery - Modeling of Ordinal Random Variables via Softmax Regression

Supports the modeling of ordinal random variables, like the outcomes of races, via Softmax regression, under the Harville <doi:10.1080/01621459.1973.10482425> and Henery <doi:10.1111/j.2517-6161.1981.tb01153.x> models.

Last updated 1 years ago

cpp

4.26 score 6 stars 2 dependents 6 scripts 628 downloads

SPYvsSPY - Spy vs. Spy Data

Data on the Spy vs. Spy comic strip of Mad magazine, created and written by Antonio Prohias.

Last updated 4 years ago

3.65 score 9 stars 6 scripts 102 downloads

epsiwal - Exact Post Selection Inference with Applications to the Lasso

Implements the conditional estimation procedure of Lee, Sun, Sun and Taylor (2016) <doi:10.1214/15-AOS1371>. This procedure allows hypothesis testing on the mean of a normal random vector subject to linear constraints.

Last updated 3 years ago

3.18 score 1 stars 1 dependents 5 scripts 195 downloads