More On the Limitations of the Jarque-Bera Test

April 21, 2014
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More On the Limitations of the Jarque-Bera Test

Testing the validity of the assumption, that the errors in a regression model are normally distributed, is a standard pastime in econometrics. We use this assumption when we construct standard confidence intervals  for, or test hypotheses about, t...

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Ray Fair’s Model(s) in EViews

April 21, 2014
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Ray Fair’s Model(s) in EViews

Here's a follow-up to my recent post about the Federal Reserve U.S. macroeconometric model being freely available in EViews formatRay Fair's well-known model for the U.S. economy is also now available in a form that's ready to play with in EViews....

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Stan Model of the Week: Hierarchical Modeling of Supernovas

April 21, 2014
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Stan Model of the Week: Hierarchical Modeling of Supernovas

The Stan Model of the Week showcases research using Stan to push the limits of applied statistics.  If you have a model that you would like to submit for a future post then send us an email. Our inaugural post comes from Nathan Sanders, a graduate student finishing up his thesis on astrophysics at Harvard. […] The post Stan Model of the Week: Hierarchical Modeling of Supernovas appeared first on…

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RStata: Funny or just annoying?

April 21, 2014
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RStata: Funny or just annoying?

Okay okay.  The joke is up.  Besides likely necessitating an emergency call to from the Stata Management Team to the Stata Legal Team, my post on April 1st of 2014 entitled "RStata: Stata Fully Mapped into R", was intended as a practical joke...

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Ticket to Baaaath

April 21, 2014
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Ticket to Baaaath

Ooooooh, I never ever thought I’d have a legitimate excuse to tell this story, and now I do! The story took place many years ago, but first I have to tell you what made me think of it: Rasmus Bååth posted the following comment last month: On airplane tickets a Swedish “å” is written as […] The post Ticket to Baaaath appeared first on Statistical Modeling, Causal Inference, and Social…

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On deck this week

April 21, 2014
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Mon: Ticket to Baaaath Tues: Ticket to Baaaaarf Wed: Thinking of doing a list experiment? Here’s a list of reasons why you should think again Thurs: An open site for researchers to post and share papers Fri: Questions about “Too Good to Be True” Sat: Sleazy sock puppet can’t stop spamming our discussion of compressed […] The post On deck this week appeared first on Statistical Modeling, Causal Inference, and…

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Inferring participation rates in service projects

April 21, 2014
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Inferring participation rates in service projects

About a week ago I taught my tutorial, Bayesian Statistics Made Simple, at PyCon 2014 in Montreal.  My slides, the video, and all the code, are on this site.  The turnout was great.  We had a room full of enthusiastic Pythonistas who are...

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Habits are hard to shake off

April 21, 2014
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Habits are hard to shake off

For those who don't use an iPhone, what you are staring at is the new keyboard. Is the SHIFT key on or off? For most of us who use the iPhone, we can't tell you either. It's been confusing and...

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On Kaggle Forecasting Competitions, Part 1: The Hold-Out Sample(s)

April 21, 2014
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Kaggle competitions are potentially pretty cool. Kaggle supplies in-sample data ("training data"), and you build a model and forecast out-of-sample data that they withhold ("test data"). The winner gets a significant prize, often $100,000.00 or mo...

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Local functions (not!) in the SAS/IML language

April 21, 2014
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Local functions (not!) in the SAS/IML language

I have previously written about the scope of local and global variables in the SAS/IML language. You might wonder whether SAS/IML modules can also have local scope. The answer is no. All SAS/IML modules are known globally and can be called by any other modules. Some object-oriented programming languages support […]

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High incidence in Measles Data in Project Tycho

April 21, 2014
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High incidence in Measles Data in Project Tycho

In this third post on Measles data I want to have a look at some high incidence occasions. As described before, the data is from Project Tycho, which contains data from all weekly notifiable disease reports for the United States dating back to 18...

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Notes on evaluating predictions, or Background to my airfare predictor article

April 20, 2014
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My article on whether we can trust airfare prediction models is published today at FiveThirtyEight, the new data journalism venture launched by Nate Silver after he moved to ESPN. This topic was originally conceived as a chapter of Numbersense (link) but I dropped it. As I have noted in my review of Nate Silver's book, he has a keen interest in evaluating predictions, and not surprisingly, he encouraged me to…

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Fooled by randomness

April 20, 2014
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From 2006: Naseem Taleb‘s publisher sent me a copy of “Fooled by randomness: the hidden role of chance in life and the markets” to review. It’s an important topic, and the book is written in a charming style—I’ll try to respond in kind, with some miscellaneous comments. On the cover of the book is a […] The post Fooled by randomness appeared first on Statistical Modeling, Causal Inference, and Social…

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Getting Credit (or blame) for Something You Didn’t Do (BP oil spill)

April 20, 2014
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Getting Credit (or blame) for Something You Didn’t Do (BP oil spill)

  Four years ago, many of us were glued to the “spill cam” showing, in real time, the gushing oil from the April 20, 2010 explosion sinking the Deepwater Horizon oil rig in the Gulf of Mexico, killing 11, and spewing oil until July 15 (see video clip that was added below).Remember junk shots, top kill, blowout preventers? [1] The EPA has […]

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Monotonicity of EM Algorithm Proof

April 19, 2014
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Here the monotonicity of the EM algorithm is established. $$ f_{o}(Y_{o}|\theta)=f_{o,m}(Y_{o},Y_{m}|\theta)/f_{m|o}(Y_{m}|Y_{o},\theta)$$ $$ \log L_{o}(\theta)=\log L_{o,m}(\theta)-\log f_{m|o}(Y_{m}|Y_{o},\theta) \label{eq:loglikelihood} $$ where \( L_{o}(\theta)\) is the likelihood under the observed data and \(L_{o,m}(\theta)\) is the likelihood under the complete data. Taking the expectation of the second line with respect to the conditional distribution of \(Y_{m}\) given \(Y_{o}\) and […] The post Monotonicity of EM Algorithm Proof appeared first on Lindons Log.

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Why the “sample from infinite population” metaphor has been such a disaster for reproducible science.

April 19, 2014
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The “sampling from an infinite population” metaphor beloved by statisticians of all types is a disaster for reproducible science. To explain why I’ll show what sampling from a finite population has going for it that’s not there ...

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Index or indicator variables

April 19, 2014
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Someone who doesn’t want his name shared (for the perhaps reasonable reason that he’ll “one day not be confused, and would rather my confusion not live on online forever”) writes: I’m exploring HLMs and stan, using your book with Jennifer Hill as my field guide to this new territory. I think I have a generally […] The post Index or indicator variables appeared first on Statistical Modeling, Causal Inference, and…

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Copula Density Estimation

April 19, 2014
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The joint paper, written with Gery Geenens and Davy Paindaveine, entitled “Probit transformation for nonparametric kernel estimation of the copula density” is now online on http://arxiv.org/abs/1404.4414 “Copula modelling has become...

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Old tails: a crude power law fit on ebook sales

April 18, 2014
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Old tails: a crude power law fit on ebook sales

We use R to take a very brief look at the distribution of e-book sales on Amazon.com. Recently Hugh Howey shared some eBook sales data spidered from Amazon.com: The 50k Report. The data is largely a single scrape of statistics about various anonymized books. Howey’s analysis tries to break sales down by declared category and […] Related posts: Sample size and power for rare events Living in A Lognormal World…

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Welcome to Econometrics Students in China

April 18, 2014
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Welcome to Econometrics Students in China

One of my students mentioned to me yesterday that there was quite a bit of action on Weibo (the Chinese equivalent to Twitter) relating to posts on this blog - especially those posts relating to MCMC methods in econometrics. That's just great - thanks ...

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My talks @ Universitat de Girona

April 18, 2014
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My talks @ Universitat de Girona

Just after Easter, I'll go for a very quick trip to lovely Girona, where Marc Saez has invited me to give two talks.The first one will be a re-run of the short course on INLA that I did at Bayes Pharma last year. It's scheduled (and prepared) as a 3-ho...

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Date formating in R

April 18, 2014
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As I often manipulate time series from different sources, I rarely come across the same date format twice. Having to reformat the dates every time is a real waste of time because I never remember the syntax of the as.Date function. I put below a few examples that turn strings into standard R date format. […]

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One-tailed or two-tailed?

April 18, 2014
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One-tailed or two-tailed?

Someone writes: Suppose I have two groups of people, A and B, which differ on some characteristic of interest to me; and for each person I measure a single real-valued quantity X. I have a theory that group A has a higher mean value of X than group B. I test this theory by using […] The post One-tailed or two-tailed? appeared first on Statistical Modeling, Causal Inference, and Social…

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