Publications by T. Moudiki
Using R in Python for statistical learning/data science
As someone who’s been using the statistical computing language R for 15 years now, I’d been wondering if there was a way to call my favorite R functions from Python. If you’ve been asking yourself too, yes, there is a way: using rpy2. rpy2 can be installed from the command line as: pip install rpy2 In order to install the R packages neces...
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ESGtoolkit, a tool for Monte Carlo simulation (v0.2.0)
I’m still receiving questions about ESGtoolkit – a tool that I developped in 2014 for stochastic simulation – from time to time, even if it’s not really my current focus. As I also noticed recently, ESGtoolkit is downloaded a few times each month: If you recognize yourself in these numbers, I’d be really happy to hear from you (via th...
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nnetsauce for R
nnetsauce is now available to R users (currently, a development version). As a reminder, for those who are interested, the following page illustrates different use-cases for the nnetsauce, including deep learning application examples. This post from September 18 is about an Adaptive Boosting (boosting) algorithm variant available in the nnetsauce...
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Feedback forms for contributing
To those who are not comfortable with using Git/Version Control yet: I’ve created detailed feedback forms for the tools that I’m actively maintaining. the nnetsauce, a general-purpose tool for Statistical/Machine Learning: feedback form. the querier, an SQL-like query language: feedback form. the teller, a model-agnostic tool for Machine Lea...
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Version 0.4.0 of nnetsauce, with fruits and breast cancer classification
English version / Version en français English version A new version of nnetsauce, version 0.4.0, is now available on Pypi and for R. As usual, you can install it on Python by using the following commands (command line): pip install nnetsauce And if you’re using R, it’s still (R console): library(devtools) devtools::install_github("thierrymo...
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R notebooks for nnetsauce
English version / Version en français English version nnetsauce is a general purpose tool for Statistical/Machine Learning, in which pattern recognition is reliant on Quasi-Randomized networks. Current implementations are Python and R, and a specific RSS feed related to it can be found through this link. This RSS feed will help you to stay up-t...
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On model specification, identification, degrees of freedom and regularization
I had a lot of fun this week, revisiting this blog post (Monte Carlo simulation of a 2-factor interest rates model with ESGtoolkit) I wrote a few years ago in 2014 – that somehow generated a heatwave. This 2020 post is about model specification, identification, degrees of freedom and regularization. The first part is on Monte Carlo simulation ...
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Time series cross-validation using crossval
Time series cross-validation is now available in crossval, using function crossval::crossval_ts. Main parameters for crossval::crossval_ts include: fixed_window described below in sections 1 and 2, and indicating if the training set’s size is fixed or increasing through cross-validation iterations initial_window: the number of points in the ro...
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Grid search cross-validation using crossval
crossval is an R package which contains generic functions for cross-validation. Two weeks ago, I presented an example of time series cross-validation based on crossval. This week’s post is about cross-validation on a grid of hyperparameters. glmnet is used as statistical learning model for the demo, but it could be any other package of your cho...
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Linear model, xgboost and randomForest cross-validation using crossval::crossval_ml
As seen last week in a post on grid search cross-validation, crossval contains generic functions for statistical/machine learning cross-validation in R. A 4-fold cross-validation procedure is presented below: In this post, I present some examples of use of crossval on a linear model, and on the popular xgboost and randomForest models. The error...
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