## Variability of predicted portfolio volatility

February 11, 2013
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A prediction of a portfolio’s volatility is an estimate — how variable is that estimate? Data The universe is 453 large cap US stocks. The variance matrices are estimated with the daily returns in 2012. Variance estimation was done with Ledoit-Wolf shrinkage (shrinking towards equal correlation). Two sets of random portfolios were created.  In both … Continue reading →

## O Knowledge Graph, Where Art Thou?

February 11, 2013
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The web search community, in recent months and years, has heard quite a bit about the 'knowledge graph'. The basic concept is reasonably straightforward - instead of a graph of pages, we propose a graph of knowledge where the nodes...

## O Knoweldge Graph, Where Art Thou?

February 11, 2013
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The web search community, in recent months and years, has heard quite a bit about the 'knowledge graph'. The basic concept is reasonably straightforward - instead of a graph of pages, we propose a graph of knowledge where the nodes...

## Sunday data/statistics link roundup (2/10/2013)

February 11, 2013
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An article about how NBA teams have installed cameras that allow their analysts to collect information on every movement/pass/play that is performed in a game. I think the most interesting part for me would be how you would define features. … Continue reading →

## Excel, SPSS, Minitab or R?

February 10, 2013
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I often hear this question: Should I use Excel to teach my class? Or should I use R? Which package is the best? It depends on the class The short answer is: It depends on your class. You have to … Continue reading →

## Psychology can be improved by adding some economics

February 10, 2013
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On this blog I’ve occasionally written about the problems that arise when economists act as amateur psychologists. But the problem can go the other way, too. For example, consider this blog by Berit Brogaard and Kristian Marlow (link from Abbas Raza). Brogaard and Marlow give several amusing stories about ripoffs (a restaurant that scams customers [...]

## Publishing from R+knitr to WordPress

February 10, 2013
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Tal Galili asked a question on StackOverflow on publishing blog posts to WordPress from R + knitr. William K. Morris has written a solution long time ago, and I tweaked it a little bit and created a function knit2wp() in the development version of knit...

## U-PHIL: Gandenberger & Hennig: Blogging Birnbaum’s Proof

February 10, 2013
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Defending Birnbaum’s Proof Greg Gandenberger PhD student, History and Philosophy of Science Master’s student, Statistics University of Pittsburgh In her 1996 Error and the Growth of Experimental Knowledge, Professor Mayo argued against the Likelihood Principle on the grounds that it does not allow one to control long-run error rates in the way that frequentist methods do.  [...]

## U-PHIL: Gandenberger & Hennig: Blogging Birnbaum’s Proof

February 10, 2013
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Defending Birnbaum’s Proof Greg Gandenberger PhD student, History and Philosophy of Science Master’s student, Statistics University of Pittsburgh In her 1996 Error and the Growth of Experimental Knowledge, Professor Mayo argued against the Likelihood Principle on the grounds that it does not allow one to control long-run error rates in the way that frequentist methods do.  [...]

## CHANCE: special issue on George Casella’s books

February 9, 2013
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The special issue of CHANCE on George Casella’s books has now appeared and it contains both my earlier post on George passing away and  reviews of several of his books, as follows: Andrew Gelman on Introducing Monte Carlo Methods with R Bill Strawderman on Statistical Inference Jean-Louis Foulley on Variance Components Larry Wasserman on Theory [...]

## Quantifying the international search for meaning

February 9, 2013
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Inspired by Preis et al.’s article Quantifying the advantage of looking forward, recently published in Scientific Reports (one of Nature publishing group’s journals), I wondered if similar big-data web-based research methods might address a question even bigger than how much different countries wonder about next year. How about the meaning of life. Who is searching […]

## Quantifying the international search for meaning

February 9, 2013
By

Inspired by Preis et al.’s article Quantifying the advantage of looking forward, recently published in Scientific Reports (one of Nature publishing group’s journals), I wondered if similar big-data web-based research methods might address a question even bigger than how much different countries wonder about next year. How about the meaning of life. Who is searching [...]

## Finding a jump in data

February 9, 2013
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The other day I saw a plot with some data with a clear jump in it. So I wondered if it were possible to determine the position of that jump. Data with a jump is easy enough made:library(ggplot2)n <- 100mydata <- data.frame(x=runif(n))mydata\$...

## New kvetch: Filly Fury

February 9, 2013
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A little humor: rejected post: Filly Fury Filed under: Rejected Posts, Statistics

## New kvetch: Filly Fury

February 9, 2013
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A little humor: rejected post: Filly Fury Filed under: Rejected Posts, Statistics

## Thomas Hobbes would be spinning in his grave

February 9, 2013
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A few years ago I watched a bunch of Speed Racer cartoons with Phil in a movie theater in the early 90s. These were low-budget Japanese cartoons from the 60s that we loved as kids. From my adult perspective, the best parts were during the characters’ long drives, where you could see Japanese industrial scenes [...]

## iPython Notebook

February 9, 2013
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Burak Bayramli writes: I wanted to inform you on iPython Notebook technology – allowing markup, Python code to reside in one document. Someone ported one of your examples from ARM. iPynb file is actually a live document, can be downloaded and reran locally, hence change of code on document means change of images, results. Graphs [...]

## Statistics Declares War on Machine Learning!

February 9, 2013
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$Statistics Declares War on Machine Learning!$

STATISTICS DECLARES WAR ON MACHINE LEARNING! Well I hope the dramatic title caught your attention. Now I can get to the real topic of the post, which is: finite sample bounds versus asymptotic approximations. In my last post I discussed Normal limiting approximations. One commenter, Csaba Szepesvari, wrote the following interesting comment: What still surprises [...]

## Partial least squares path analysis

February 9, 2013
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Wayne Folta writes: I [Folta] was looking for R packages to address a project I’m working on and stumbled onto a package called ‘plspm’. It seems to be a nice package, but the thing I wanted to pass on is the PDF that Gaston Sanchez, its author, wrote that describes PLS Path Analysis in general [...]

## Using the delta method

February 9, 2013
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This was originally posted at Point Mass Prior and features MathML. If you’re viewing from StatsBlogs the math probably won’t show up properly and it would be beneficial to view the post here Somebody recently asked me about the delta method and specifically the deltamethod function in the msm package. I thought I would write about that and so to motivate this we’ll look at an example. The example we’ll…

## Participation and Observation in Search

February 9, 2013
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The early days of web search were essentially about observation. The web search engine observed the web (documents, links and user behaviours) and then delivered results based on those observations. In recent years we have started to see more of...

## Statistical consulting with Zombal

February 9, 2013
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This is a guest post by Benedict Noel of Zombal. Many statisticians do a little bit of consulting in addition to their main job, and Zombal provides a way for people to find such work. Zombal: connecting freelancers with projects Zombal is an online marketplace for freelance work in the maths and sciences. Employers (aka “launchers” on Zombal) can post project listings for free, and candidates (aka ‘catchers’) bid to…

## packed off!!!

February 8, 2013
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Deliverance!!! We have at last completed our book! Bayesian Essentials with R is off my desk! In a final nitty-gritty day of compiling and recompiling the R package bayess and the LaTeX file, we have reached versions that were in par with our expectations. The package has been submitted to CRAN (it has gone back [...]