What is the connection between testing marketing campaigns and Las Vegas?The Multi-Armed Bandit problem is a statistical problem that seeks to optimize a gambler playing multiple slot machines. Each slot machine has an unknown probability of...

What is the connection between testing marketing campaigns and Las Vegas?The Multi-Armed Bandit problem is a statistical problem that seeks to optimize a gambler playing multiple slot machines. Each slot machine has an unknown probability of...

I've spent a considerable amount of time setting up filters to avoid getting spam from fake journals and conferences. Unfortunately, they are exceptionally good at thwarting my defenses. This does not annoy me as much as I pretend because, secretly, … Continue reading →

I met Seth back in the early 1990s when we were both professors at the University of California. He sometimes came to the statistics department seminar and we got to talking about various things; in particular we shared an interest in statistical graphics. Much of my work in this direction eventually went toward the use […] The post Seth Roberts appeared first on Statistical Modeling, Causal Inference, and Social Science.

Check out Jesse Shapiro's view. He calls it "How to Give an Applied Micro Talk," but it's basically relevant everywhere. Of course reasonable people might quibble with a few things said, or regret the absence of a few things unsaid, but overall it...

Ken Rice writes: In the recent discussion on stopping rules I saw a comment that I wanted to chip in on, but thought it might get a bit lost, in the already long thread. Apologies in advance if I misinterpreted what you wrote, or am trying to tell you things you already know. The comment […] The post Ken Rice presents a unifying approach to statistical inference and hypothesis testing…

Mark Girolami points us to this paper and software (with Oksana Chkrebtii, David Campbell, and Ben Calderhead). They write: We develop a general methodology for the probabilistic integration of differential equations via model based updating of a joint prior measure on the space of functions and their temporal and spatial derivatives. This results in a […] The post Bayesian Uncertainty Quantification for Differential Equations! appeared first on Statistical Modeling, Causal…

This week's post has more math than most, so I wrote in it LaTeX and translated it to HTML using HeVeA. Some of the formulas are not as pretty as they could be. If you prefer, you can read this article in PDF. Abstract: My two favorite topics in probability and statistics are Bayes’s theorem and logistic regression. Because there are similarities between them, I have always assumed that there…

Raphael Silberzahn writes: Brian Nosek, Eric Luis Uhlmann, Dan Martin, and I just launched a project through the Open Science Center we think you’ll find interesting. The basic idea is to “Crowdstorm a Dataset”. Multiple independent analysts are recruited to test the same hypothesis on the same data set in whatever manner they see as […] The post Crowdstorming a dataset appeared first on Statistical Modeling, Causal Inference, and Social…

Mon: Crowdstorming a dataset Tues: Ken Rice presents a unifying approach to statistical inference and hypothesis testing Wed: The health policy innovation center: how best to move from pilot studies to large-scale practice? Thurs: Heller, Heller, and Gorfine on univariate and multivariate information measures Fri: Discovering general multidimensional associations Sat: “The graph clearly shows that […] The post On deck this week appeared first on Statistical Modeling, Causal Inference, and…

This is an expanded version of Chart 3 that appeared in my FiveThirtyEight article: These were the five routes in which following Kayak's recommendations would get me to a lower price than the 14-day-out price for each flight. The purple dot was when Kayak first suggested buying. The gray dotted line was the price on my first day of search. A few key observations here: The high variability of prices…

This is the title of a wonderful new book that has just been released, courtesy of the Committee of Presidents of Statistical Societies. It can be freely downloaded from the COPSS website or a hard copy can be purchased on Amazon (for only a little over 10c per page which is not bad compared to other statistics books). The book consists of 52 chapters spanning 622 pages. The full table of contents below…

Here are a few more thoughts on Kaggle competitions, continuing my earlier Kaggle post.It's a shame that Kaggle doesn't make available (post-competition) the test-sample data and the set of test-sample forecasts submitted. If they did, then lots of int...

Calendar Strategy is a very simple strategy that buys an sells at the predetermined days, known in advance. Today I want to show how we can easily investigate performance at and around Month End days. First let’s load historical prices for SPY from Yahoo Fiance and compute SPY perfromance at the month-ends. I.e. strategy will […]

I will be at HEC Montréal Monday morning and Tuesday, for the Mathematical Finance Days. I will give a talk on Quantiles Estimation from Heavy Tailed Distribution, based on some joint work with Emmanuel Flachaire. I will upload the slides soon̷...