William Chiu's repositories
spurious_regression
how to detect spurious regression using time-series cross-validation
decision_boundary
Non-linear decision boundary (for classification) with logistic regression and natural cubic splines.
gam_with_monotonic_constraints
How to approximate a shape constrained additive model (scam) with linear basis functions. Output is an Excel-friendly regression equation.
IML4Finance
The course emphasizes interpretable machine learning techniques and their applications in the financial services industry.
K_fold_cv
A study to examine the trade-offs associated with increasing the K in K-Fold cross-validation. Sometimes referred to as V-fold cross-validation.
linear_filters_in_R
How to calculate moving averages in R
Northwestern_MSIA_2022
Measuring the consequences of serial correlation and non-stationary variables through simulation
power_analysis_3_funcs
Compare the power of 3 confidence interval functions for proportions
repro_SynthAML
Reproduce tables and figures from Jensen, Rasmus; Ferwerda, Joras; Jørgensen, Kristian; Jensen, Erik; Borg, Martin; Krogh, Morten; et al. (2023). SynthAML: a Synthetic Data Set to Benchmark Anti-Money Laundering Methods. figshare. Collection. https://doi.org/10.6084/m9.figshare.c.6504421.v1.
SP500
Had you invested $10,000 on 1929-07-01, your portfolio would have been worth about $3,000 after 12.5 years. In stark contrast, if you invested $10,000 on 2007-11-01, your portfolio would have been worth about $19,000 after 12.5 years.
survival_data
Simulate data that is ideal for Cox Model. Fit Cox PH Model, OLS, OLS with log transform, and Poisson Model. Compare test set performance for expected time to event.