Book Image

Hands-On Data Science with R

By : Vitor Bianchi Lanzetta, Doug Ortiz, Nataraj Dasgupta, Ricardo Anjoleto Farias
Book Image

Hands-On Data Science with R

By: Vitor Bianchi Lanzetta, Doug Ortiz, Nataraj Dasgupta, Ricardo Anjoleto Farias

Overview of this book

R is the most widely used programming language, and when used in association with data science, this powerful combination will solve the complexities involved with unstructured datasets in the real world. This book covers the entire data science ecosystem for aspiring data scientists, right from zero to a level where you are confident enough to get hands-on with real-world data science problems. The book starts with an introduction to data science and introduces readers to popular R libraries for executing data science routine tasks. This book covers all the important processes in data science such as data gathering, cleaning data, and then uncovering patterns from it. You will explore algorithms such as machine learning algorithms, predictive analytical models, and finally deep learning algorithms. You will learn to run the most powerful visualization packages available in R so as to ensure that you can easily derive insights from your data. Towards the end, you will also learn how to integrate R with Spark and Hadoop and perform large-scale data analytics without much complexity.
Table of Contents (16 chapters)

Programming an HMM with R

The HMM can be used in the finance field for a great number of things. Features such as regime identification, volatility clustering, and anti-correlation (return and volatility) can all be extracted from financial data through using the HMM. R has several great packages to deal with the HMM. This chapter uses one called ldhmm, which implements the homogeneous first-order HMM.

This link will guide you through the package documentation: The word first-order means that the state in time t is only influenced by the state in time t-1. Make sure that you have ldhmm installed by using the following code:


Let's begin with data. The ldhmm package comes with daily data from the Standard & Poor 500 Index (SPX). Run the following...