Formulating State Space Models in R with Focus on Longitudinal Regression Models

We provide a language for formulating a range of state space models with response densities within the exponential family. The described methodology is implemented in the R-package sspir. A state space model is specified similarly to a generalized linear model in R, and then the time-varying terms are marked in the formula. Special functions for specifying polynomial time trends, harmonic seasonal patterns, unstructured seasonal patterns and time-varying covariates can be used in the formula. The model is fitted to data using iterated extended Kalman filtering, but the formulation of models does not depend on the implemented method of inference. The package is demonstrated on three datasets.

Predicting and auralizing acoustics in classrooms

Although classrooms have fairly simple geometries, this type of room is known to cause problems when trying to predict their acoustics using room acoustics computer modeling. Some typical features from a room acoustics point of view are: Parallel walls, low ceilings (the rooms are flat), uneven distribution of absorption, and most of the floor being covered with furniture which at long distances act as scattering elements, and at short distance provide strong specular components. The importance of diffraction and scattering is illustrated in numbers and by means of auralization, using ODEON 8 Beta

Further Evidence on Hedge Funds Performance.

In this analysis we identify dynamic hedge fund strategies quantitatively pursuing a Principal Component Analysis following Fung and Hsieh (1997). We extract five dominant hedge fund strategies each representing similar investment styles and analyse the performance of each strategy by employing a multi-factor model comprising both market indices and passive option strategies along the lines of Agerwal and Naik (2000). We find that the majority of the five homogenous strategies show superior performance. However, correcting for survivorship bias this superior performance disappears.Hedge funds; Investment in securities; Performance; Dynamic strategies; Hedge funds performance;