modeling

Hierarchical Risk Parity Implementation in Rcpp and OpenMP — Rafael Nicolas Fermin Cota, Yi King, and Chris Chung
Rcpp and OpenMP implementation of Hierarchy Risk Parity portfolio allocation method
Gerber Statistic Implementation in Rcpp and OpenMP — Rafael Nicolas Fermin Cota, Yi King, and Chris Chung
Rcpp and OpenMP implementation of Gerber Statistic
Sampling Importance Resampling (SIR) and social revolution. — Jonathan Olmsted
We use SIR to characterize the posterior distribution of parameters associated with the probability of social revolution.
Speed Chain Ladder Analysis with Rcpp — Chibisi Chima-Okereke
Speed-up of Chain Ladder analysis by calling C++ routines from R
Using iterators for sparse vectors and matrices — Søren Højsgaard and Doug Bates
We illustrate the user of iterators for sparse vectors and matrices and implement a function which determines if a set of nodes in an undirected graph is complete.
A simple array class with specialized linear algebra routines — Fabian Scheipl
Define a simple array class for implementing Currie/Durban/Eilers "generalized linear array models".
Condorcet Voting with Rcpp — Avraham Adler
This post demonstrates the speed increase in loop-heavy Condorcet voting calculations by using Rcpp together with R
Detecting a Time Series Change Point — Joshua French
Detects how to detect a change point in a time series using Bayesian methodology. Compares naive and vectorized R solutions to one implemented using Rcpp and RcppArmadillo's sample function.
Sobol Sensitivity Analysis — Robin Girard
Compares speed performances of Monte Carlo estimation of Sobol indices with Rcpp and sensitivity package
Using the GSL to compute eigenvalues — Dirk Eddelbuettel
This example shows how to call a GSL function using RcppGSL
Using GSL functions from R — Dirk Eddelbuettel
This example shows how to call a GSL function using RcppGSL
Fast Linear Models with Armadillo — Dirk Eddelbuettel
A simple implementation of of a fast linear regression using the Armadillo library