# Posts Tagged ‘ statistics ’

## Prediction intervals too narrow

October 22, 2014
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Almost all prediction intervals from time series models are too narrow. This is a well-known phenomenon and arises because they do not account for all sources of uncertainty. In my 2002 IJF paper, we measured the size of the problem by computing the actual coverage percentage of the prediction intervals on hold-out samples. We found […]

## Tiny Data, Approximate Bayesian Computation and the Socks of Karl Broman

October 20, 2014
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Big data is all the rage, but sometimes you don’t have big data. Sometimes you don’t even have average size data. Sometimes you only have eleven unique socks: Karl Broman is here putting forward a very interesting problem. Interesting, not onl...

## hts with regressors

October 20, 2014
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The hts package for R allows for forecasting hierarchical and grouped time series data. The idea is to generate forecasts for all series at all levels of aggregation without imposing the aggregation constraints, and then to reconcile the forecasts so they satisfy the aggregation constraints. (An introduction to reconciling hierarchical and grouped time series is […]

## PhilStat/Law: Nathan Schachtman: Acknowledging Multiple Comparisons in Statistical Analysis: Courts Can and Must

October 19, 2014
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The following is from Nathan Schachtman’s legal blog, with various comments and added emphases (by me, in this color). He will try to reply to comments/queries. “Courts Can and Must Acknowledge Multiple Comparisons in Statistical Analyses” Nathan Schachtman, Esq., PC * October 14th, 2014 In excluding the proffered testimony of Dr. Anick Bérard, a Canadian perinatal […]

## a bootstrap likelihood approach to Bayesian computation

October 15, 2014
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This paper by Weixuan Zhu, Juan Miguel Marín [from Carlos III in Madrid, not to be confused with Jean-Michel Marin, from Montpellier!], and Fabrizio Leisen proposes an alternative to our 2013 PNAS paper with Kerrie Mengersen and Pierre Pudlo on empirical likelihood ABC, or BCel. The alternative is based on Davison, Hinkley and Worton’s (1992) […]

## Loi multinomiale et loi du chi-deux

October 15, 2014
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$\boldsymbol{N}=(N_{1},\cdots,N_{k})$

La semaine passée, en cours, j’avais rappelé que quand décrivait le compte de  variable multinomiales prenant modalités, la variable suit asymptotiquement une loi . Et plus généralement, on peut montrer que . Le soucis est que la matrice de variance covariance n’est pas la matrice identité. Pire que ça, elle n’est pas diagonale. Encore pire, elle n’est pas inversible. On ne peut alors pas utiliser le joli résultat qui nous…

## Linear Regression and Matrix Operations in Excel

October 12, 2014
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Linear regression is a very frequently required method and is implemented in many software packages. Excel performs regression either directly through worksheet functions or on scatter plots, but it doesn’t allow the user to see the inner working...

## BREAKING THE (Royall) LAW! (of likelihood) (C)

October 10, 2014
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With this post, I finally get back to the promised sequel to “Breaking the Law! (of likelihood) (A) and (B)” from a few weeks ago. You might wish to read that one first.* A relevant paper by Royall is here. Richard Royall is a statistician1 who has had a deep impact on recent philosophy of […]

## Explaining the ABS unemployment fluctuations

October 10, 2014
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Although the Guardian claimed yesterday that I had explained “what went wrong” in the July and August unemployment figures, I made no attempt to do so as I had no information about the problems. Instead, I just explained a little about the purpose of seasonal adjustment. However, today I learned a little more about the ABS unemployment […]

## Seasonal adjustment in the news

October 9, 2014
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It’s not every day that seasonal adjustment makes the front page of the newspapers, but it has today with the ABS saying that the recent seasonally adjusted unemployment data would be revised. I was interviewed about the underlying concepts for the Guardian in this piece. Further comment from me about users paying for the ABS data […]