Combining forecasts: Evidence on the relative accuracy of the simple average and Bayesian model averaging for predicting social science problems

June 19, 2014
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Andreas Graefe sends along this paper (with Helmut Kuchenhoff, Veronika Stierle, and Bernhard Riedl) and writes: We summarize prior evidence from the field of economic forecasting and find that the simple average was more accurate than Bayesian model averaging in three of four studies; on average, the error of BMA was 6% higher than the […] The post Combining forecasts: Evidence on the relative accuracy of the simple average and…

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Fine Work by Mueller and Watson at ECB

June 19, 2014
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Fine Work by Mueller and Watson at ECB

ECB EurotowerUlrich Mueller and Mark Watson's "Measuring Uncertainty About Long-Run Predictions" is important and original. I like it more (and understand it more) every time I see it. The latest was last week in Frankfurt at the ECB's Eighth Annu...

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What’s the algorithm, Kenneth?

June 19, 2014
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What’s the algorithm, Kenneth?

I can’t figure out what’s the deal with the bars for Corners. The bar labeled “7″ is much less than 7 times the bar labeled “1.” At first I was guessing that maybe they’re not counting the numbered part in the bar width (which would be a pretty weird choice) but that wouldn’t work for […] The post What’s the algorithm, Kenneth? appeared first on Statistical Modeling, Causal Inference, and…

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Conditional Distributions from some Elliptical Vectors

June 19, 2014
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Conditional Distributions from some Elliptical Vectors

This winter, in my ACT8595 course, I asked my students (that was some homework) to prove that it was possible to derive the conditional distribution when we have a Student-t random vector (and to get the analytical expression of the later). But before, let us recall a standard result about the Gaussian vector. If  is a Gaussian random vector, i.e. then  has a Gaussian distribution. More precisely, it is a  distribution, with and  is the Schur…

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Flash Boys and Investors

June 18, 2014
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How does technology impact the electronic exchange of assets, and how does this advancement impact the individual investor? I spend...

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Chances of being picked twice for drug testing

June 18, 2014
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Chances of being picked twice for drug testing

Suppose in a company of N employees, m are chosen randomly for drug screening [1]. In two independent screenings, what is the probability that someone will be picked both times? It may be unlikely that any given individual will be picked twice, while being very likely that someone will be picked twice. Imagine m employees […]

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Heads up if you are going to submit to the Journal of the National Cancer Institute

June 18, 2014
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Update (6/19/14): The folks at JNCI and OUP have kindly confirmed that they will consider manuscripts that have been posted to preprint servers.  I just got this email about a paper we submitted to JNCI Dear Dr. Leek: I am … Continue reading →

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Judicious Bayesian Analysis to Get Frequentist Confidence Intervals

June 18, 2014
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Judicious Bayesian Analysis to Get Frequentist Confidence Intervals

Christian Bartels has a new paper, “Efficient generic integration algorithm to determine confidence intervals and p-values for hypothesis testing,” of which he writes: The paper proposes to do an analysis of observed data which may be characterized as doing a judicious Bayesian analysis of the data resulting in the determination of exact frequentist p-values and […] The post Judicious Bayesian Analysis to Get Frequentist Confidence Intervals appeared first on Statistical…

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The Oracle (3)

June 18, 2014
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The Oracle (3)

Yesterday was the end of round 1 for the group stage $-$ this means that all 32 teams have played at least once (in fact, Brazil and Mexico have now played twice). So, it was time for us to update our model including a new measure of "current form" for...

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An Extreme Publication Lag

June 18, 2014
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An Extreme Publication Lag

We all complain about the delays associated with the academic publishing process. The referees can be very slow in reaching their recommendations; the revisions sometimes seem to be interminable; and then the accepted paper sits in a long queue awaitin...

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Windows File Copy

June 18, 2014
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Windows File Copy

Of course we've all wondered for decades, but during the usual summertime cleanup I recently had to copy massive numbers of files, so it's on my mind. Seriously, what is going on with the Windows file copy "remaining time" estimate? Could an average tw...

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Frequentist tests of model assumptions don’t test the model assumptions: or “how to mass produce non-reproducibility”

June 18, 2014
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Frequentists often claim they prefer their methods because they know how to test the model assumptions. Unfortunately, those tests don’t verify the statistical model. When a Frequentist says “the data generation process is modeled with a &#...

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“Statistical chemotherapy”: Jeremy Freese adds a new item to the lexicon!

June 18, 2014
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In the context of reporting the latest on hurricanes/himmicanes, Freese comes up with a new one for the lexicon. Considering the latest manipulations performed by the hurricanes/himmicanes people, the sociologist writes: Like statistical chemotherapy, even though it slightly poisons their key result, it still leaves it alive just below the conventional statistical cutoff (p = […] The post “Statistical chemotherapy”: Jeremy Freese adds a new item to the lexicon! appeared…

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Approximating a distribution from published quantiles

June 18, 2014
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Approximating a distribution from published quantiles

A colleague asked me an interesting question: I have a journal article that includes sample quantiles for a variable. Given a new data value, I want to approximate its quantile. I also want to simulate data from the distribution of the published data. Is that possible? This situation is common. […]

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On Hoeffding’s identity

June 18, 2014
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On Hoeffding’s identity

In 1940, Wassily Hoeffding published Masstabinvariante Korrelationstheorie, which was an impressive paper. For those (like me) who unfortunately barely speak German, an English translation could be found in The Collected Works of Wassily Hoeffding, published a few years ago. As I keep saying in my courses about copulas, almost everything was in that paper, by Wassily Hoeffding. For instance, we can see the following graph, of a cumulative distribution function, What is…

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Studying Ted Talks, Anscombe’s Quartet, and Modern Languages Enrollment

June 17, 2014
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While the feed from a newer github/jekyll blogging platform (patilv.github.io) is registered with blog aggregators, here are snippets of three posts that were recently published at the new site. Please click on the titles to visit the corresponding pag...

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As if we needed another example of lying with statistics and not issuing a correction: bike-share injuries

June 17, 2014
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This post is by Phil Price A Washington Post article says “In the first study of its kind, researchers from Washington State University and elsewhere found  a 14 percent greater risk of head injuries to cyclists associated with cities that have bike share programs. In fact, when they compared raw head injury data for cyclists […] The post As if we needed another example of lying with statistics and not…

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Average predictive comparisons in R: David Chudzicki writes a package!

June 17, 2014
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Average predictive comparisons in R:  David Chudzicki writes a package!

Here it is: An R Package for Understanding Arbitrary Complex Models As complex models become widely used, it’s more important than ever to have ways of understanding them. Even when a model is built primarily for prediction (rather than primarily as an aid to understanding), we still need to know what it’s telling us. For […] The post Average predictive comparisons in R: David Chudzicki writes a package! appeared first…

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How the horrible waste of time that is Classical Statistics came about.

June 17, 2014
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How could anyone have ever taken the nightmare of classical methods described in the last post seriously? It happened because on the simple problems Fisher, Neyman, Pearson et al based there work there is a rough symmetry between two very different vie...

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Hurricanes/himmicanes extra: Again with the problematic nature of the scientific publication process

June 17, 2014
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Hurricanes/himmicanes extra:  Again with the problematic nature of the scientific publication process

Jeremy Freese has the story. To me, the sad thing is not that people who don’t understand statistics are doing research. After all, statistics is hard, and to require statistical understanding of all quantitative researchers would be impossible to enforce in any case. Indeed, if anything, one of the goals of the statistical profession is […] The post Hurricanes/himmicanes extra: Again with the problematic nature of the scientific publication process…

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Who will win the World Cup and which prediction model?

June 17, 2014
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Who will win the World Cup and which prediction model?

The World Cup has finally kicked off last Thursday and I have seen some fantastic games already. Perhaps the Netherlands appears to be the strongest side so far, following their 5-1 victory over Spain. To me the question is not only which country will...

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Tukey and Mosteller’s Bulging Rule (and Ladder of Powers)

June 17, 2014
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Tukey and Mosteller’s Bulging Rule (and Ladder of Powers)

When discussing transformations in regression models, I usually briefly introduce the Box-Cox transform (see e.g. an old post on that topic) and I also mention local regressions and nonparametric estimators (see e.g. another post). But while I was working on my ACT6420 course (on predictive modeling, which is a VEE for the SOA), I read something about a “Ladder of Powers Rule” also called “Tukey and Mosteller’s Bulging Rule“. To be…

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Chris Hedges extra

June 16, 2014
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“I stand by my body of work,” Hedges told Gawker when asked in an email about several of the instances of borrowing documented below. “I do not plagiarize. I never have and never would. That’s basic professionalism.” Could somebody please lock this guy in a room with Ed Wegman, Doris Kearns Goodwin, Laurence Tribe, Matthew […] The post Chris Hedges extra appeared first on Statistical Modeling, Causal Inference, and Social…

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