How to do parallel R loops within Windows and Linux. No more expensive Matlab worker licenses
The major reasons I switched from Matlab was for exactly this. Under Matlab, the worker licenses will kill but now you can you can do this for free under R. Thanks to makers of these adequate R packages.
I can verify the above code works from end to end. The impressive thing is it is much simpler tha the Matlab version with their webinar. Here you estimate, generate the signal, and perform a backtest. It shows how easy some of these R packages are.
Excellent tutorial on urca R package for VAR, Cointegration, Statistical Tests, Non Stationary Processes , benchmarks, estimating models
Wow! This tutorial at http://www.pfaffikus.de/download/tutorial-useR2008.pdf is quite excellent! As I look for cointegration tests like Dickey Fuller, this tutorial has it! Also, there are some demos on VAR with traditional processes. I must say I have validated some of the R code which seems to work ok! Plots work too! Also, there are some very good definitions and algo equations given. Thus far, this is an excellent resource to see the power of R in forecasting! There seems to be no question of how data is generated as it is randomly generated. No wonky data conversion here in these examples!
I am using RStudio so I can confirm sthat the code seems to be ok but the plots fail with a message; > plotbt.custom.report.part1(regime.switching.garch, regime.switching, buy.hold) Error in plot.window(…) : Logarithmic axis must have positive limits In addition: Warning message: In xy.coords(x, y, xlabel, ylabel, log) : 3120 y values <= 0 omitted from logarithmic plo
Could it be the data used? I am not sure but I only need the data anyhow. Looks good but still need to validate it as I get more comfortable with R.