I recently reported here on the Barrigozzi-Brownlees paper, "Network Estimation for Time Series." I heard it presented a few weeks ago at the 2013 NBER/NSF Time Series Conference, hosted this year by the Federal Reserve Board in Washington (a...

I recently reported here on the Barrigozzi-Brownlees paper, "Network Estimation for Time Series." I heard it presented a few weeks ago at the 2013 NBER/NSF Time Series Conference, hosted this year by the Federal Reserve Board in Washington (a...

In anticipation of the upcoming Unconference on the Future of Statistics next Wednesday at 12-1pm EDT, I thought I'd dig up what people in the past had said about the future so we can see how things turned out. In doing … Continue reading →

In order to illustrate the next section of the non-life insurance course, consider the following example1, inspired from http://sciencepolicy.colorado.edu/…. This is the so-called “Normalized Hurricane Damages in the United States” dataset, for the period 1900-2005, from Pielke et al. (2008). The dataset is available in xls format, so we have to spend some time to import it, > library(gdata) > db=read.xls( + "http://sciencepolicy.colorado.edu/publications/special/public_data_may_2007.xls", + sheet=1) trying URL 'http://sciencepolicy.colorado.edu/publications/special/public_data_may_2007.xls' Content type 'application/vnd.ms-excel'…

Now that the important deadline of October 15 for MCMSki IV is over, First, thanks to the more that 160 participants who already registred! The audience is now larger than at any of the previous MCMSki meetings! (Obviously, from a statistical perspective, the comparison is somewhat unfair as running three parallel sessions instead of one single track session is […]

Amy Cohen writes: A surgeon showed me the “report card” his hospital received about his surgical group. The figure below shows what the report card looks like. I am very curious to hear what you think about the “deciles of the odds ratio” approach to evaluate and rank hospitals used by the American College of […]The post Chasing the noise: W. Edwards Deming would be spinning in his grave appeared…

I left a comment on one of Andrew Gelman's recent posts about Malcolm Gladwell (link). This post discusses briefly a review of Gladwell's recent book. A commenter ("Haile") made the following defense of Gladwell: My point is that many of these criticisms are based on Gladwell’s failure to present rigorous statistical evidence of arguments that are not statistical in nature in the first place. when (if) reading Gladwell, it’s time…

This stumps job applicants all the time (although probably not after this post). I flip a coin two times. Given that at least one of the flips is heads, what's the probability that both flips are heads. 50% you say? Sorry, but no. Don't feel bad...

Music and snow. Poke my eyes out Perhaps your immediate response is: “I’d rather poke my eyes out with a burning stick than do data analysis.” There’s a completely different reaction from a lot of people who have experienced data analysis. Music It’s not entirely clear why humans like music so much. Part of it […] The post The joy of data analysis appeared first on Burns Statistics.

It was over a year since my original post, Backtesting Asset Allocation portfolios. I have expanded the functionality of the Systematic Investor Toolbox both in terms of optimization functions and helper back-test functions during this period. Today, I want to update the Backtesting Asset Allocation portfolios post and showcase new functionality. I will use the […]

Don’t you wish there was a way to comment on papers? Now there is. Thanks to the efforts of Rob Tibshirani, Pat Brown, Mike Eisen, David Lipman and others there is now a system called PubMed Commons. PubMed is the central repository for biomedical research. PubMed Commons allows people to have active discussions of papers. […]

Ben Highton and Matt Buttice point us to this response addressing some of the issues Jeff Lax raised in his most recent MRP post. P.S. Jeff replies in comments: It sounds like we’ve converged. They acknowledge MRP performance is significantly better on average than reported in their new paper in PA and yet performance variation […]The post Can’t Stop Won’t Stop Mister P Beatdown appeared first on Statistical Modeling, Causal…

There has been a lot of discussion of peer review on this blog and elsewhere. One thing I realized is that no one ever formally taught me the point of peer review or how to write a review. Like a … Continue reading →

Our book is nearly out..! The Springer webpage is ready, we have sent the proofs back, amazon is missing has now included the above picture, things are moving towards the publication date, supposed to be November 30. Just in time for Christmas! And not too early given that we packed off in early February… Filed under: […]

Rob “Lasso” Tibshirani writes: We all read a lot of papers and often have useful things to say about them, but there is no systematic way to do this lots of journals have commenting systems, but they’re clunky, and, most importantly, they’re scattered across thousands of sites. Journals don’t encourage critical comments from readers, […]The post PubMed Commons: A system for commenting on articles in PubMed appeared first on…

A challenge for statistical programmers is getting data into the right form for analysis. For graphing or analyzing data, sometimes the "wide format" (each subject is represented by one row and many variables) is required, but other times the "long format" (observations for each subject span multiple rows) is more [...]

Last week in the non-life insurance course, we’ve seen the theory of the Generalized Linear Models, emphasizing the two important components the link function (which is actually the key component in predictive modeling) the distribution, or the variance function Just to illustrate, consider my favorite dataset lin.mod = lm(dist~speed,data=cars) A linear model means here where the residuals are assumed to be centered, independent, and with identical variance. If we visualize that linear…