15 Nov


R packages


A package of functions aimed at finance, though some of the functionality can be used in other applications.  The most interesting functionality is:

  • estimate variance matrices when there are more variables than observations
  • create 3-dimensional arrays (a specialized form of what the abind package does)

BurStFin is available on CRAN.



A package of miscellaneous functions.  Currently it contains:

  • corner: sort of like head and tail but only returns a few rows and columns.  It is useful for making sure large datasets are as you expect.  It also works on higher dimensional arrays.
  • genopt: a simple implementation of genetic optimization mixed with simulated annealing.
  • functions to do random permutation tests (from the paper “Permuting Super Bowl Theory”).

BurStMisc is available on CRAN.

© Copyright - Burns Statistics