Statistics

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Yield-Curve Modeling

January 8, 2018
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Yield-Curve Modeling

Happy New Year to all!Riccardo Rebonato's Bond Pricing and Yield-Curve Modeling: A Structural Approach will soon appear from Cambridge University Press. It's very well done -- a fine blend of  theory, empirics, market sense, and good prose.  ...

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Yield-Curve Modeling

January 8, 2018
By
Yield-Curve Modeling

Happy New Year to all!Riccardo Rebonato's Bond Pricing and Yield-Curve Modeling: A Structural Approach will soon appear from Cambridge University Press. It's very well done -- a fine blend of  theory, empirics, market sense, and good prose.  ...

Read more »

Holt-Winters with a Quantile Loss Function

January 8, 2018
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Holt-Winters with a Quantile Loss Function

Exponential Smoothing is an old technique, but it can perform extremely well on real time series, as discussed in Hyndman, Koehler, Ord & Snyder (2008)), when Gardner (2005) appeared, many believed that exponential smoothing should be disregarded because it was either a special case of ARIMA modeling or an ad hoc procedure with no statistical rationale. As McKenzie (1985) observed, this opinion was expressed in numerous references to my paper. Since…

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Big cdata News

January 4, 2018
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Big cdata News

I have some big news about our R package cdata. We have greatly improved the calling interface and Nina Zumel has just written the definitive introduction to cdata. cdata is our general coordinatized data tool. It is what powers the deep learning performance graph (here demonstrated with R and Keras) that I announced a while … Continue reading Big cdata News

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Econometrics Reading for the New Year

January 2, 2018
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Econometrics Reading for the New Year

Another year, and lots of exciting reading!Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online.Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive movi...

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Econometrics Reading for the New Year

January 2, 2018
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Econometrics Reading for the New Year

Another year, and lots of exciting reading!Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online.Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive movi...

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Interpolating Statistical Tables

January 1, 2018
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Interpolating Statistical Tables

We've all experienced it. You go to use a statistical table - Standard Normal, Student-t, F, Chi Square - and the line that you need simply isn't there in the table. That's to say the table simply isn't detailed enough for our purposes.One question tha...

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Making sense of a probability problem in the WSJ

January 1, 2018
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Making sense of a probability problem in the WSJ

Someone wrote to me the other day asking if I could explain a probability example from the Wall Street Journal. (“Proving Investment Success Takes Time,” Spencer Jakab, November 25, 2017.) Victor Haghani … and two colleagues told several hundred acquaintances who worked in finance that they would flip two coins, one that was normal and […]

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Kudos to Professor Andrew Gelman

December 29, 2017
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Kudos to Professor Andrew Gelman for telling a great joke at his own expense: Stupid-ass statisticians don’t know what a goddam confidence interval is. He brilliantly burlesqued a frustrating common occurrence many people say they “have never seen happen.” One of the pains of writing about data science is there is a (small but vocal) … Continue reading Kudos to Professor Andrew Gelman

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Announcing rquery

December 28, 2017
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We are excited to announce the rquery R package. rquery is Win-Vector LLC‘s currently in development big data query tool for R. rquery supplies set of operators inspired by Edgar F. Codd‘s relational algebra (updated to reflect lessons learned from working with R, SQL, and dplyr at big data scale in production). As an example: … Continue reading Announcing rquery

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