Two earlier regularization posts focused on panel data and generic time series contexts. Now consider a specific time-series context: long memory. For exposition consider the simplest case of a pure long memory DGP, \( (1-L)^d y_t = \varep...

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Two earlier regularization posts focused on panel data and generic time series contexts. Now consider a specific time-series context: long memory. For exposition consider the simplest case of a pure long memory DGP, \( (1-L)^d y_t = \varep...

All told, after decades of research, it seems that Efron-Hinkley holds up -- observed information dominates estimated expected information MLE standard errors. It's both easier to calculate and more accurate. Let me know if you disagree.[Efron, B. and ...

Nina Zumel introduced y-aware scaling in her recent article Principal Components Regression, Pt. 2: Y-Aware Methods. I really encourage you to read the article and add the technique to your repertoire. The method combines well with other methods and can drive better predictive modeling results. From feedback I am not sure everybody noticed that in … Continue reading y-aware scaling in context

Notice that high dimensions and mixed frequencies go together in time series. (If you're looking at a huge number of series, it's highly unlikely that all will be measured at the same frequency, unless you arbitrarily exclude all frequencies but one.) ...

In the multivariate normal case, conditional independence is the same as zero partial correlation. (See below.) That makes a lot of things a lot simpler. In particular, determining ordering in a DAG is just a matter of assessing partial cor...

CNBC reports that Goldman Sachs flags employee emails based on a long list of "offending" phrases. If an employee types a profanity, apparently a window pops up to confirm that the person really truly wants to say that word. The other objective given is to detect fraudulent behavior. The list they published apparently came from 2008, so very aged, but I think it is a hoax. Many of the terms…

En préparant une intervention pour mardi prochain, j’épluchais les résultats renvoyés pour un exercice, et j’ai eu un résultat assez étrange avec un modèle de classification. J’avais donné la même base cet automne à l’ensae, et j’avais donc près d’une trentaine d’autres modèles, pour comparer (disons plutôt que sur la même base de test, j’ai une trentaine de prévisions). Les observations noires sont celles obtenues cet automne (le trait correspond aux…