As a result of my previous post, I’ve had a number of requests to describe how I compiled the BLAS, so I’ll do so below. Of course, the necessary caveats, I am not a programmer nor do I play one on the radio so I probably cannot debug any issue anyone may have. Use the Read the full article…
One of the more important pieces of software that powers R is its BLAS, which stands for Basic Linear Algebra Subprograms. This is the suite of programs which, as its name implies, performs basic linear algebra routines such as vector copying, scaling and dot products; linear combinations; and matrix multiplication. It is the engine on Read the full article…
In a recent LinkedIn conversation, the topic of correlation between multiple financial indices was raised. While the actual details are not relevant, the discussion reminded me of one of the concerns I have whenever multivariate correlation is used—how to populate the correlation matrix. First, some background. Unfortunately, most financial random variables are not normally distributed—they Read the full article…