## The importance of simulating the extremes

March 6, 2013
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Simulation is commonly used by statisticians/data analysts to: (1) estimate variability/improve predictors, (2) to evaluate the space of potential outcomes, and (3) to evaluate the properties of new algorithms or procedures. Over the last couple of days, discussions of simulation have … Continue reading →

## Making friends

March 6, 2013
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I've received an email by one of the contributors of statisticsblog.com and, while we were both hanging out of our parents' back, we've decided we wanted to become friends.I had encountered this blog a couple of times in the past and their approac...

## Online Education and Jazz

March 6, 2013
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Alex Tabarrok writes: There is something special, magical, and “almost sacred” about the live teaching experience. I agree that this is true for teaching at its best but it’s also irrelevant. It’s even more true that there is something special, magical and almost sacred about the live musical experience. . . . Mark Edmundson makes [...]

## SAS/IML Posters and Presentations at SAS Global Forum 2013

March 6, 2013
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There is something for everyone at SAS Global Forum 2013. I like to attend presentations in the Statistics and Data Analysis track and talk with SAS customers in the SAS Support and Demo Area. But one activity that I enjoy the most is to stroll through the poster area and [...]

## Barycentric interpolation: fast interpolation on arbitrary grids

March 6, 2013
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$Barycentric interpolation: fast interpolation on arbitrary grids$

Barycentric interpolation generalises linear interpolation to arbitrary dimensions. It is very fast although suboptimal if the function is smooth. You might now it as algorithm 21.7.1 in Numerical Recipes (Two-dimensional Interpolation on an Irregular Grid). Using package geometry it can be implemented in a few lines of code in R. Here’s a quick explanation of what […]

## Times per second benchmark

March 5, 2013
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In GNU R the simplest way to measure execution time of a piece code is to use system.time. However, sometimes I want to find out how many times some function can be executed in one second. This is especially useful when we want to compare function...

## Le Monde puzzle [#810]

March 5, 2013
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The current puzzle is as follows: Take a board with seven holes and seeds. The game starts with one player putting the seeds on the holes as he or she wishes. The other player picks a seed wherever. Then, alternatively, each player picks a seed in a hole contiguous to the previous one. The loser [...]

## Readin’ Up on Publication Bias

March 5, 2013
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After last week’s post, I’ve been reading more of the literature out there on bias in the distribution of published effects. There’s a lot more out there than I thought! I thought it might be nice to have a little reading list put together and to think about where further development would be most useful. […]

March 5, 2013
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ViralSearch [microsoft.com], developed by Jake Hofman and others of Microsoft Research, visualizes how content spreads over social media, and Twitter in particular. ViralSearch is based on hundred thousands of stories that are spread through billions...

## Bayes2013

March 5, 2013
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Last year Julien invited me to the Bayes-Pharma workshop in Aachen, which turned out to be quite nice. This year, I've been invited in the scientific board for the new edition, which will be held in Rotterdam this coming May. So far, we've had a v...

## Talk at Purdue

March 5, 2013
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I will be giving a talk at Purdue University on Wednesday afternoon, 4:30 pm. The details can be found here. I am hosted by the Math Department in Lawson, Room 1142. The general theme is the real-world challenges of "Big Data". After the talk, I'll discuss the business analytics career. Please drop by if you are in the area.

## Data calls the model’s bluff

March 5, 2013
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I hear a lot of people saying that simple models work better than complex models when you have enough data. For example, here’s a tweet from Giuseppe Paleologo this morning: Isn’t it ironic that almost all known results in asymptotic…Read more ›

## Each Open App, Mouse Click & Keyboard Hit During 2.5 Years

March 5, 2013
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Every Day of My Life [marcinignac.com] by Polish artistic programmer / programming artist Marcin Ignac represents his computer usage from the last 2.5 years. Each horizontal line represents a single day, while each block stands for a specific use of...

## Watership Down, thick description, applied statistics, immutability of stories, and playing tennis with a net

March 5, 2013
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For the past several months I’ve been circling around and around some questions related to the issue of how we build trust in statistical methods and statistical results. There are lots of examples but let me start with my own career. My most cited publications are my books and my methods papers, but I think [...]

## Robustness of equal weights

March 5, 2013
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In Thinking, Fast and Slow, Daniel Kahneman comments on The robust beauty of improper linear models in decision making by Robyn Dawes. According to Dawes, or at least Kahneman’s summary of Dawes, simply averaging a few relevant predictors may work…Read more ›

## Live webstreaming of NTTS 2013

March 5, 2013
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If you're not able to attend NTTS 2013 in Brussels, you may still follow the conference online.All sessions in the main auditorium (including the opening session, the closing session and all keynote speeches) will be transmitted via live webstreaming o...

## Predicted correlations and portfolio optimization

March 5, 2013
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What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of “The top 7 portfolio optimization problems” is that correlations spike during a crisis which is when you most want optimization to work. This post looks at a small piece of that question.  It wonders if increasing predicted … Continue reading →

## Create an R package from a single R file with roxyPackage

March 5, 2013
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Documenting code can be a bit of a pain. Yet, the older (and wiser?) I get, the more I realise how important it is. When I was younger I said 'documentation is for people without talent'. Well, I am clearly loosing my talent, as I sometimes str...

## Cluster Risk Parity back-test

March 5, 2013
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In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster using Risk Parity Allocate funds across all Clusters using Risk Parity I created a helper function distribute.weights() function in strategy.r at github to automate these steps. […]

## Baseline Imbalance in RCTs: To test or not to test?

March 5, 2013
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In the biomedical research world, stakes don't get any higher than randomized trials, where no stone goes unturned. The notion of confounding and baseline imbalance is a frequent source of heartburn, especially for statisticians, as they're often asked...

## Shrinkage in bimodal hierarchical models: Toward the modes, not the middle

March 5, 2013
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In hierarchical models, the estimated values of intermediate-level parameters exhibit "shrinkage" because the higher-level distribution affects the intermediate-level parameter estimates. In typical applications, the form of the higher-level distributi...

## What’s Ailing Introductory Statistics?

March 4, 2013
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Introductory courses are the most important in any academic department. They are often a student's first and only exposure to a discipline, and reach the widest audience of any course in the department. A bad first impression can not only cheats peopl...