Ce soir, je quitte ma cabane d’ermite pour intervenir dans la conférence Big Data: Big Brother organisé au Cœur des Sciences, où un peu plus de trois cent personnes se sont inscrites en quelques heures. On va parler de data. Et depuis, je me ...

Ce soir, je quitte ma cabane d’ermite pour intervenir dans la conférence Big Data: Big Brother organisé au Cœur des Sciences, où un peu plus de trois cent personnes se sont inscrites en quelques heures. On va parler de data. Et depuis, je me ...

While I wasn't happy with how the New York Times business page covered the recent unemployment report (link), I was pleasantly surprised to see this editorial today titled "Making College Pay". Here are the key sentences: The recent jobless rate for college graduates ages 25 and older was 3.2 percent, and their median pay at full-time, full-year jobs was $75,300 for men and $53,700 for women. That is a far…

I happened to receive two questions about stopping rules on the same day. First, from Tom Cunningham: I’ve been arguing with my colleagues about whether the stopping rule is relevant (a presenter disclosed that he went out to collect more data because the first experiment didn’t get significant results) — and I believe you have […]The post Stopping rules and Bayesian analysis appeared first on Statistical Modeling, Causal Inference, and…

In my first post, I described the general logic of Bayes factors. I will continue discussing the general logic of Bayes factor, while introducing some of the basic functionality of the BayesFactor package.Recap: What is a Bayes factor?The Bayes factor is the relative evidence provided by the data for comparing two statistical models. It has two equivalent definitions:The Bayes factor is the relative predictive success between two hypotheses: it is…

Last year, I did mention in a post that unit-root tests are dangerous, because they might lead us to strange models. For instance, in a post, I did obtain that the temperature observed in January 2013, in Montréal, might be considered as a random walk process (or at leat an integrated process). The code to extract the data has changed (since the website has been updated), so here, we use…

This week, in the MAT8181 Time Series course, we’ve discussed unit root tests. According to Wold’s theorem, if is (weakly) stationnary then where is the innovation process, and where is some deterministic series (just to get a result as general as possible). Observe that as discussed in a previous post. To go one step further, there is also the Beveridge-Nelson decomposition : an integrated of order one process, defined as…

We had some questions on the Stan list regarding identification. The topic arose because people were fitting models with improper posterior distributions, the kind of model where there’s a ridge in the likelihood and the parameters are not otherwise constrained. I tried to help by writing something on Bayesian identifiability for the Stan list. Then […]The post How to think about “identifiability” in Bayesian inference? appeared first on Statistical Modeling,…

Although I currently work as a statistician, my original training was in mathematics. In many mathematical fields there is a result that is so profound that it earns the name "The Fundamental Theorem of [Topic Area]." A fundamental theorem is a deep (often surprising) result that connects two or more [...]

A new version of my hts package for R is now on CRAN. It was completely re-written from scratch. Not a single line of code survived. There are some minor syntax changes, but the biggest change is speed and scope. This version is many times faster than the previous version and can handle hundreds of thousands of time series without complaining. The speed-up is due to some new research I…

These are questions I answered recently for an undergrad who had questions about how best to prepare herself for graduate school. I thought the answers might be more widely of interest, and with a lot of editing, am including the questions and answers ...

In quantitative finance both R and Excel are the basis tools for any type of analysis. Whenever one has to use Excel in conjunction with R, there are many ways to approach the problem and many solutions. It depends on what you really want to do and the size of the dataset you’re dealing with. I […]