Reader Jack S. sent over this chart (link): The first problem readers encounter with this image is "What is MMI?" I like to think of any presentation as a set of tearout pages. Even if the image is part of...

I often want to quickly create a lag or lead variable in an R data frame. Sometimes I also want to create the lag or lead variable for different groups in a data frame, for example, if I want to lag GDP for each country in a data frame. I've found ...

The steps taken to fix an R problem. Task To prepare for the Portfolio Probe blog post called “Implied alpha and minimum variance”, I tried to update a matrix of daily stock prices using a function I had written for the purpose. Error When I tried to do what I wanted, I got: > univclose130518 […] The post An R debugging example appeared first on Burns Statistics.

Earlier today, I've arrived in Rotterdam for the Bayes Pharma conference. As I already said in a previous post, I think we have quite an exciting line up. In fact, I think that the finalised programme is packed with interesting talks!My first impressio...

I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods that focuses on diversification or more specifically diversification of your risk bets. (i.e. portfolio that distributes risk equally both within clusters and […]

Recently I have run an exam where the following question had risen many problems for students (here I give its shortened formulation). You are given the data generating process y = 10x + e, where e is error term. Fit linear regression using lm, ne...

Frontiers of Science is a course offered as part of Columbia University’s Core Curriculum. The course is controversial, with some people praising its overview of several areas of science, and others feeling that a more traditional set of introductory science courses would do the job better. Last month, the faculty in charge of the course [...]The post Evaluating Columbia University’s Frontiers of Science course appeared first on Statistical Modeling, Causal…

The other day we discussed that paper on ovulation and voting (you may recall that the authors reported a scattered bunch of comparisons, significance tests, and p-values, and I recommended that they would’ve done better to simply report complete summaries of their data, so that readers could see the comparisons of interest in full context), [...]The post What happened that the journal Psychological Science published a paper with no identifiable…

For programmers who are learning the SAS/IML language, it is sometimes confusing that there are two kinds of multiplication operators, whereas in the SAS DATA step there is only scalar multiplication. This article describes the multiplication operators in the SAS/IML language and how to use them to perform common tasks [...]

Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in “Implied alpha — almost wordless”. In a comment to that post Jeff noticed that the optimal portfolio given for the example is ever so close to the minimum variance portfolio. That is because there is a problem with the example … Continue reading →

Introduction The Ideal Gas Law, , is a very simple yet useful relationship that describes the behaviours of many gases pretty well in many situations. It is “Ideal” because it makes some assumptions about gas particles that make the math and the physics easy to work with; in fact, the simplicity that arises from these […]

Writing a blog like this, a strange and often puzzling exercise[1], does offer a forum for sharing half-baked chicken-scratchings from the back of frayed pages on themes from our Onto-Meth[2] conference from two weeks ago[3]. (The previous post had notes from blogger and attendee, Gandenberger.) Several of the talks reflect a push-back against the idea that […]

In a previous post, a few weeks ago, I mentioned that I will be in Las Vegas by the end of July. And I took the opportunity to write a post on roulette(s). Since some colleagues told me I should take some time to play poker there, I guess I have to understand how to play poker… so I went back to basics on cards, and shuffling techniques. Now, I…

Introduction This is the first of a series of posts on exploratory data analysis (EDA). This post will calculate the common summary statistics of a univariate continuous data set – the data on ozone pollution in New York City that is part of the built-in “airquality” data set in R. This is a particularly good data set […]

This is a ridiculously good post on 20th versus 21st century problems and the rise of the importance of empirical science. I particularly like the discussion of what it means to be a "solved" problem and how that has changed. … Continue reading →