Ordinary least squares continues to be the staple estimator for causal inference for good reason. In order to help new and veteran OLS users get a better sense of how it is working I have created a shiny app that allows for instant interactivity ...

Once you start experimenting with many different asset allocation algorithms, the computation time of running the back-tests can be substantial. One simple way to solve the computation time problem is to run the back-tests in parallel. I.e. if the asset allocation algorithm does not use the prior period holdings to make decision about current allocation, […]

I've been playing with my new iPhone 5s for the last few weeks, and first let me just say that it's an awesome phone. Don't listen to whatever Jeff says. It's probably worth it just for the camera, but I've … Continue reading →

Check out USC's fine new Center for Applied Financial Economics, led by the indefatigable Hashem Pesaran. The first event is a fascinating conference, "Recent Developments on Forecasting Techniques for Macro and Finance." Lots of information here...

Consider the following data compression problem. Suppose we have a large data set we wish to transmit. They’re too many to send directly but luckily the precise values aren’t important. Slightly different values would work as long as the da...

Tomorrow, around noon, I will be giving a talk on predictive modeling for actuaries. In the introduction, I will get back shortly on the idea that a prediction is usually a best estimate, in the sense of getting an expected value. And because it is natural to use least square ideas. In order to illustrate all those concepts, we will use a simple dataset, with the sex, the height and…

Big data is so last year. Collecting data from all sorts of odd places and analyzing it much faster than was possible even a couple of years ago has become one of the hottest areas of the technology industry. The … Continue reading →

Guido Imbens and I write: The statistical and econometrics literature on causality is more focused on “effects of causes” than on “causes of effects.” That is, in the standard approach it is natural to study the effect of a treatment, but it is not in general possible to define the causes of any particular outcome. […]The post Why ask why? Forward causal inference and reverse causal questions appeared first on…

I failed to find Kahneman’s book in the economics section of the bookshop, so I had to ask where it was. “Oh, that’s in the psychology section.” It should have also been in the statistics section. He states that his collaboration with Amos Tversky started with the question: Are humans good intuitive statisticians? The wrong […] The post A statistical review of ‘Thinking, Fast and Slow’ by Daniel Kahneman appeared…

Gina Gruenhage has just arxived a new paper describing an algorithm we call cMDS. Here’s what it’s for: if you do any kind of data analysis you often find yourself comparing datapoints using some kind of distance metric. All’s well if you have a unique reasonable distance metric you can use, but often what you […]

I recently got an email from a colleague with the subject, “Academic research, is it all bad?” He had looked at a paper presented at a VIS workshop that people were pointing to on Twitter, and had found it lacking (“it’s just a blog posting”). While there are high-quality venues for visualization research, it’s not easy to be sure which ones are good, and which ones are lower quality.

My daughter's middle school math class recently reviewed how to compute the greatest common factor (GCF) and the least common multiple (LCM) of a set of integers. (The GCF is sometimes called the greatest common divisor, or GCD.) Both algorithms require factoring integers into a product of primes. While helping [...]

Last week I looked at two-way cross-over studies and followed the example of Schütz (http://bebac.at/) in the analysis. Since the EU has its on opinions (Questions & Answers: Positions on specific questions addressed to the pharmacokinetics workin...

Dans un modèle de régression, on veut écrire Quand on se limite à un modèle linéaire, on écrit Mais on de doute que l’on rate quelque chose… en particulier, on va rater toutes les interactions possibles. On peut croiser les variables, et supposer que qui peut s’étendre d’avantage, à l’ordre 3, voire davantage. Supposons que nos variables soient ici qualitatives, et plus précisément binaires. Prenons un exemple simple, avec des données…

In this time of government cut-backs and sequester, scientists are under increased pressure to dream up ever new strategies to publish attention-getting articles with eye-catching, but inadequately scrutinized, conjectures. Science writers are under similar pressures, and to this end they have found a way to deliver up at least one fire-breathing, front page article a […]

Devin Caughey points out a typo in the second column of page 765 of our AJPS paper. Here’s what we have: The typo is in the third line of the second paragraph above. Where it says y^*_j = y.bar^*_j n_j, it should be y^*_j = y.bar^*_j n^*_j. One frustrating system of the current system of […]The post Typo in Ghitza and Gelman MRP paper appeared first on Statistical Modeling, Causal…