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An application of OpenMP and Graphics Processing Units parallel threads
Numerical distribution functions of unit root tests
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An application of OpenMP and Graphics Processing Units parallel threads
Numerical distribution functions of unit root tests
Lately, I have been learning to programme on a Graphics Processing Unit (GPU). Thanks to the CUDA computing platform, it is relatively easy to programme on these devices. Despite the syntax is simple, it requires some experimentation, trial and errors, … Continue reading
Posted in performance, simulations, time series
Tagged CUDA, GPU, OpenMP, parallel programming
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$$F$$test statistic in autoregressive models
Under the framework of the classical linear regression model, the ordinary least squares (OLS) estimator has good properties: it is unbiased, has minimum variance compared to other linear estimators and the usual test statistics follow common distributions. An autoregressive model … Continue reading
Posted in regression model, simulations, time series
Tagged autoregressive model, bootstrap, Ftest
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Optimization algorithms to fit a structural time series model
The stsm R package
The package stsm provides some utilities to fit the basic structural time series model. As discussed here, there are several packages in R to work with the Kalman filter. Most of the packages mentioned there provide sound implementations of the … Continue reading