## More on the Strange American Estimator: GMM, Simulation, and Misspecification

July 30, 2013
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What's so interesting, then, about GMM? For me there are two key things: its implementation by simulation, and its properties under misspecification.First consider the implementation of GMM by simulation (so-called simulated method of moments, SMM).GMM...

## Stop Loss

July 30, 2013
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Today I want to share and present an example of the flexible Stop Loss functionality that I added to the Systematic Investor Toolbox. Let’s examine a simple Moving Average Crossover strategy: Buy is triggered once fast moving average crosses above the slow moving average Sell is triggered once fast moving average crosses below the slow […]

## How divided is the Senate?

July 30, 2013
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I very seldom pay attention to politics directly, because politics have always seemed a bit circular and cyclical to me. Most of the political news that I take in ends up worming its way into the news sources that I do consume, like the excellent longform.org. Even given my limited intake of political news, one trend that I have noticed lately is the increasing number of references to the Senate…

## Programming instrumental music from scratch

July 29, 2013
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I recently posted about automatically making music. The algorithm that I made pulled out interesting sequences of music from existing songs and remixed them. While this worked reasonably well, it also didn’t have full control over the basics of the music; it wasn’t actually specifying which instruments to use, or what notes to play. Maybe I’m being a control freak, but it would be nice to have complete control over…

## Exploratory Data Analysis: Combining Histograms and Density Plots to Examine the Distribution of the Ozone Pollution Data from New York in R

Introduction This is a follow-up post to my recent introduction of histograms.  Previously, I presented the conceptual foundations of histograms and used a histogram to approximate the distribution of the “Ozone” data from the built-in data set “airquality” in R.  Today, I will examine this distribution in more detail by overlaying the histogram with parametric […]

## Programming instrumental music from scratch

July 29, 2013
By

I recently posted about automatically making music. The algorithm that I made pulled out interesting sequences of music from existing songs and remixed them. While this worked reasonably well, it also didn't have full control over the basics of the music; it wasn't actually specifying which instruments to use, or what notes to play. Maybe I'm being a control freak, but it would be nice to have complete control over…

## Postdocs in probabilistic modeling! With David Blei! And Stan!

July 29, 2013
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David Blei writes: I have two postdoc openings for basic research in probabilistic modeling. The thrusts are (a) scalable inference and (b) model checking. We will be developing new methods and implementing them in probabilistic programming systems. I am open to applicants interested in many kinds of applications and from any field. “Scalable inference” means […]The post Postdocs in probabilistic modeling! With David Blei! And Stan! appeared first on Statistical…

## Upcoming talk in Chicago

July 29, 2013
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I'm busy preparing for my talk tomorrow in Chicago. The topic is Big Data and Marketing, a topic that is central to Numbersense. The event is free, and you can register here. It's hosted by BIGfrontier's Steve Lundin.

## Read data sets that are specified by an array of names

July 29, 2013
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One of my favorite features of SAS/IML 12.1 (released with 9.3m2) is that the USE and CLOSE statements support reading data set names that are specified in a SAS/IML matrix. The IMLPlus language in SAS/IML Studio has supported this syntax since the early 2000s, so I am pleased that this [...]

## The Most Iconic Visualizations

July 29, 2013
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I was asked about the most iconic data graphics in the last ten years for an article on FastCoLabs last week (so were Andy Kirk and Matt Stiles). It’s an interesting question not only because of the actual choices, but also the criteria to use. Is something iconic because of its unique look and/or shape? Does it have to have impact? What is an iconic visualization? One of my choices was the Bikini…

## Let’s hear it for the Triangular Distribution!

July 29, 2013
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Telly monster is my favourite character on Sesame Street, and a few years ago I was lucky enough to actually meet him. This morning I was delighted to find out from my resident Sesame Street expert that Telly monster is … Continue reading →

## BCEA 2.0

July 28, 2013
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I know that updating a package too often is not quite good practice, so, given we've released BCEA 1.3-1 just about a month ago, this is way too soon to move forward. But between the last release and now, I've been doing some reading and have made some...

## More on that machine learning course

July 28, 2013
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Following up on our discussion the other day, Andrew Ng writes: Looking at the “typical” ML syllabus, I think most classes do a great job teaching the core ideas, but that there’re two recent trends in ML that are usually not yet reflected. First, unlike 10 years ago, a lot of our students are now […]The post More on that machine learning course appeared first on Statistical Modeling, Causal Inference,…

## Google’s Leaps and Bounds in Local Search

July 28, 2013
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I recently wrote about the changes observed in Google's local search product on the web over the course of a year. This year, Google has rolled out some changes to their web based experience that indicate some healthy experimentation with...

## Modeling Match Results in La Liga Using a Hierarchical Bayesian Poisson Model: Part two.

July 28, 2013
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In the last blog post I showed my initial attempt at modeling football results in La Liga using a Bayesian Poission model, but there was one glaring problem with the model; it did not consider the advantage of being the home team. In this post I will...

## Sunday data/statistics link roundup (7/28/13)

July 28, 2013
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An article in the Huffpo about a report claiming there is no gender bias in the hiring of physics faculty. I didn't read the paper carefully but  I definitely agree with the quote from  Prof. Dame Athene Donald that the comparison should … Continue reading →

## 50 shades of gray: A research story

July 28, 2013
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This is a killer story (from Brian Nosek, Jeffrey Spies, and Matt Motyl). Part 1: Two of the present authors, Motyl and Nosek, share interests in political ideology. We were inspired by the fast growing literature on embodiment that demonstrates surprising links between body and mind (Markman & Brendl, 2005; Proffitt, 2006) to investigate embodiment […]The post 50 shades of gray: A research story appeared first on Statistical Modeling, Causal…

## Using finite differences to estimate the maximum of a time series

July 28, 2013
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Finding the maximum value of a function is an important task in statistics. There are three approaches to finding a maxima: When the function is available as an analytic expression, you can use an optimization algorithm to find the maxima. For example, in the SAS/IML language, you can use any [...]

## A JAGS calculation on pattern of rain January 1906-1915 against 2003-2012

July 28, 2013
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Two weeks ago I showed rain data from six stations in Netherlands years 1906 till now. Last week I showed that frequency of days with and without rain differed between December 1906-1915 and December 2003-2012. This week I am considering the ...

## The Steep Price of Sparsity

July 27, 2013
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$The Steep Price of Sparsity$

The Steep Price of Sparsity We all love sparse estimators these days. I am referring to things like the lasso and related variable selection methods. But there is a dark side to sparsity. It’s what Hannes Leeb and Benedikt Potscher call the “return of the Hodges’ estimator.” Basically, any estimator that is capable of producing … … Continue reading →

## Teaching is hard

July 27, 2013
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Aleks pointed me to some posts on Gary Rubenstein’s blog, where I found this disheartening description of the teaching at a local high school. None of this is a surprise, but Rubenstein writes it vividly, and it’s interesting to see how ba...

## New Version: On the Birnbaum argument for the SLP: Slides for my JSM talk

July 27, 2013
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In my latest formulation of the controversial Birnbaum argument for the strong likelihood principle (SLP), I introduce a new symbol  to represent a function from a given experiment-outcome pair, (E,z) to a generic inference implication.  This should clarify my argument (see my new paper). (E,z) InfrE(z) is to be read “the inference implication from outcome z in experiment E” […]

## Statistics takes center stage in the Independent

July 26, 2013
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Check out this really good piece over at the Independent. It talks about the rise of statisticians as rockstars, naming Hans Rosling, Nate Silver, and Chris Volinsky among others. I think that those guys are great and deserve all the … Continue reading →