Risk Measures with Extreme Value Models

February 5, 2014
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Risk Measures with Extreme Value Models

We’ve seen Monday, in the MAT8595 course how to use the Generalized Pareto Distribution to estimate some downside risk measures, given a sample (assumed to be i.i.d., I will not mention here properties on extremes for stochastic processes) with distribution . The cumulative distribution function of the  Pareto distribution is here For some threshold , and , we can write From Pickands–Balkema–de Haan theorem, if is large enough, then Given our…

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Prior distribution for a predicted probability

February 5, 2014
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I received the following email: I have an interesting thought on a prior for a logistic regression, and would love your input on how to make it “work.” Some of my research, two published papers, are on mathematical models of **. Along those lines, I’m interested in developing more models for **. . . . […]The post Prior distribution for a predicted probability appeared first on Statistical Modeling, Causal Inference,…

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Feedback on OTexts covers please

February 5, 2014
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Feedback on OTexts covers please

We are currently selecting the cover design for OTexts books. The first one to go into print will be Forecasting: principles and practice. We have narrowed the choice to the two designs below, although changes are still possible. I thought it would be useful to get some feedback on these designs from readers of this blog (and from people who subscribe to my twitter feed). If you have any comments…

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A simple way to find the root of a function of one variable

February 5, 2014
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A simple way to find the root of a function of one variable

Finding the root (or zero) of a function is an important computational task because it enables you to solve nonlinear equations. I have previously blogged about using Newton's method to find a root for a function of several variables. I have also blogged about how to use the bisection method [...]

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“Probabilism as an Obstacle to Statistical Fraud-Busting” (draft iii)

February 5, 2014
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“Probabilism as an Obstacle to Statistical Fraud-Busting” (draft iii)

Update: Feb. 21, 2014 (slides at end): Ever find when you begin to “type” a paper to which you gave an off-the-cuff title months and months ago that you scarcely know just what you meant or feel up to writing a paper with that (provocative) title? But then, pecking away at the outline of a possible […]

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Interview for the Capital of Statistics

February 5, 2014
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Interview for the Capital of Statistics

Earo Wang recently interviewed me for the Chinese website Capital of Statistics. The English transcript of the intervew is on Earo’s personal website. This is the third interview I’ve done in the last 18 months. The others were for: Data Mining R...

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Bayesian First Aid: One Sample and Paired Samples t-test

February 4, 2014
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Bayesian First Aid: One Sample and Paired Samples t-test

Student’s t-test is a staple of statistical analysis. A quick search on Google Scholar for “t-test” results in 170,000 hits in 2013 alone. In comparison, “Bayesian” gives 130,000 hits while “box plot” results in only 12,500 hits. To be ...

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BMHE @ University of Alberta (reds vs blues)

February 4, 2014
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BMHE @ University of Alberta (reds vs blues)

When I was a kid, we use to play Subbuteo all the time (in fact, my brother and I had this exact box, featuring Sampdoria on the cover $-$ I thought I just mentioned this, since last night we won the Genova derby...).You may think this is totally irrel...

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Special discount on Stan! $999 cheaper than Revolution R!

February 4, 2014
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And we’ll throw in RStan and PyStan for free! Details here. The post Special discount on Stan! $999 cheaper than Revolution R! appeared first on Statistical Modeling, Causal Inference, and Social Science.

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The February Reading List

February 4, 2014
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The February Reading List

As always - there's lots of interesting reading out there. Here are my suggestions for this month:Advani, A. and Tymon Słoczyński, 2013. Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies.Discussion Paper...

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MailChimp Gmail study as an example of Big Data studies 2/2

February 4, 2014
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MailChimp Gmail study as an example of Big Data studies 2/2

Previously, I analyzed the data analysis by MailChimp on the impact of Gmail's new tabbing feature, and noted a potential data issue (link). In Part 2, I will look at the MailChimp study as a typical example of "Big Data" studies. The Gmail study has several features that are hallmarks of Big Data. First and foremost, the analyst boasts of a staggering amount of data ("29 billion emails, 4.9 billion…

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Widening the goalposts in medical trials

February 4, 2014
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Paul Alper writes: I do not believe your blog has ever dealt with the following phenomenon which might be called “(widening) moving the goalposts.” Drug companies and the medical world at large often create powerful drugs and procedures for people who are far (many standard deviations) from the norm (mean) and via randomized clinical trials, […]The post Widening the goalposts in medical trials appeared first on Statistical Modeling, Causal Inference,…

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Vraisemblance Locale Adaptative

February 4, 2014
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Depuis la fin de semaine passée, Julien Tomas est de passage à l’UQAM, pour quelques semaines, en tant que stagiaire post-doctoral. Il fera un séminaire cet après-midi sur Vraisemblance locale adaptative et application à l’assurance dépendance. Nous nous intéressons à la construction de la loi de survie d’individus dépendants ayant le même niveau de sévérité (dépendance lourde). En pratique, les actuaires utilisent souvent des méthodes s’appuyant fortement sur l’opinion d’experts.…

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Within Group Index in R

February 4, 2014
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Within Group Index in R

There are many occasions in my research when I want to create a within group index for a data frame. For example, with demographic data for siblings one might want to create a birth order index. The below illustrates a simple example of how one can create such an index in R.

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Within Group Index in R

February 4, 2014
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Within Group Index in R

There are many occasions in my research when I want to create a within group index for a data frame. For example, with demographic data for siblings one might want to create a birth order index. The below illustrates a simple example of how one can create such an index in R.

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My Online Course Development Workflow

February 4, 2014
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One of the nice things about developing 9 new courses for the JHU Data Science Specialization in a short period of time is that you get to learn all kinds of cool and interesting tools. One of the ways that we … Continue reading →

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Peabody here.

February 4, 2014
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I saw the trailer for the new Mr. Peabody movie and it looked terrible. They used that weird animation where everything looks round, also the voice had none of the intonations of the “real” Peabody (for some reason, the trailer had the original English voices, maybe they didn’t get their act together to make a […]The post Peabody here. appeared first on Statistical Modeling, Causal Inference, and Social Science.

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Does sexual activity change with age?

February 4, 2014
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Does sexual activity change with age?

Recently the Guardian's Data Blog reported about the results from the third National Survey of Sexual Attitudes and Lifestyles in the UK. One of the questions asked in the survey was if the participants had sex in the last four weeks. The results - a ...

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Top papers in the International Journal of Forecasting

February 4, 2014
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Top papers in the International Journal of Forecasting

Every year or so, Elsevier asks me to nominate five International Journal of Forecasting papers from the last two years to highlight in their marketing materials as “Editor’s Choice”. I try to select papers across a broad range of subjects, and I take into account citations and downloads as well as my own impression of the paper. That tends to bias my selection a little towards older papers as they have…

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Bar des Sciences: Débat sur le Big Data

February 3, 2014
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Bar des Sciences: Débat sur le Big Data

Le Cœur des Sciences, à Université du Québec à Montréal, organise le 13 février prochain, à 18h, un débat grand public sur le Big Data, dans le cadre d’un bar des sciences, auquel je devrais participer, avec Vincent Gautrais (a.k.a. @gautrais), Yves-Alexandre de Montjoye (a.k.a. @yvesalexandre) et Jean-Hughes Roy (a.k.a. @jeanhuguesroy). Les mauvaises langues diront que je n’aurais pas pu refuser d’intervenir dans un bar (et elles n’auront probablement pas tort). Cela dit,…

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Research Credibility, Bayes, and "Searching for Asterisks"

February 3, 2014
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Is there really a "credibility crisis" in the sciences that use statistics, as some seem to fear these days? I think not; generally I'm on board with Demming's "In God we trust, all others bring data." Of course there are issues, but they're hardly new...

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The three tables for genomics collaborations

February 3, 2014
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Collaborations between biologists and statisticians are very common in genomics. For the data analysis to be fruitful, the statistician needs to understand what samples are being analyzed. For the analysis report to make sense to the biologist, it needs to … Continue reading →

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NLSdata: an R package for National Longitudinal Surveys

February 3, 2014
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NLSdata: an R package for National Longitudinal Surveys

Introduction Alongside interstate highways, national defense, and social security, your tax dollars are used to collect data. Sometimes it’s high profile and relevant, like the census or NSA’s controversial PRISM surveillance program. Other times it’s just high profile, like the three-billion dollar brain dataset that nobody has figured out how to use. Then there are the lower profile data sets, studied by researchers, available to the public, but with enough…

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