# 966 search results for "latex"

## Two R tutorials for beginners

Two R tutorials for beginnersI am currently in the process of rescuing some of the pages from my now defunct datajujitsu.co.uk blogger blog and moving to this Github/Clojure/Bootstrap version. I also today gave a tutorial to the University of Manche...

## Inference for ARCH processes

April 2, 2014
By
$p$

Consider some ARCH() process, say ARCH(), where with a Gaussian (strong) white noise . > n=500 > a1=0.8 > a2=0.0 > w= 0.2 > set.seed(1) > eta=rnorm(n) > epsilon=rnorm(n) > sigma2=rep(w,n) > for(t in 3:n){ + sigma2=w+a1*epsilon^2+a2*epsilon^2 + epsilon=eta*sqrt(sigma2) + } > par(mfrow=c(1,1)) > plot(epsilon,type="l",ylim=c(min(epsilon)-.5,max(epsilon))) > lines(min(epsilon)-1+sqrt(sigma2),col="red") (the red line is the conditional variance process). > par(mfrow=c(1,2)) > acf(epsilon,lag=50,lwd=2)...

## Modeling the Marginals and the Dependence separately

April 1, 2014
By
$F$

When introducing copulas, it is commonly admitted that copulas are interesting because they allow to model the marginals and the dependence structure separately. The motivation is probably Sklar’s theorem, which says that given some marginal cumulative distribution functions (say  and , in dimension 2), and a copula (denoted ), then we can generate a multivariate cumulative distribution function with...

## Include uncertainty in a financial model

April 1, 2014
By

Here’s a post that appears on my new website, ragscripts.com. On-line resources for analysts are often either too general to be of practical use or too specialised to be accessible. The aim of ragscripts.com is to remedy this by providing start to finish directions for complex analytical tasks. The site is under construction at the … Continue reading...

## Correlation with constraints on pairs

March 31, 2014
By
$\text{cov}(X,Y)$

An interesting question was posted on http://math.stackexchange.com/726205/…: if one knows the covariances  and , is it possible to infer ? I asked myself a question close to this one a few weeks ago (that I might also relate to a question I asked a long time ago, about possible correlations between three exchange rates, on financial markets). More precisely, if one knows the...

## Process and observation uncertainty explained with R

March 31, 2014
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$Process and observation uncertainty explained with R$

Once up on a time I had grand ambitions of writing blog posts outlining all of the examples in the Ecological Detective.1 A few years ago I participated in a graduate seminar series where we went through many of the examples in this book. I am not a population biologist by trade but many of

## Moustache target distribution and Wes Anderson

March 31, 2014
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$Moustache target distribution and Wes Anderson$

Today I am going to introduce the moustache target distribution (moustarget distribution for brievety). Load some packages first. Let’s invoke the moustarget distribution. This defines a target distribution represented by a SVG file using RShapeTarget. The target probability density function is defined on and is proportional to on the segments described in the SVG files,

## Alternatives to model diagnostics for statistical inference?

March 28, 2014
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Consider the problem of making statistical inferences, as opposed to predictions. The product of statistical inference is a probabilistic statement about a population quantity, for example a 100(1-)% confidence interval for a population median. In this context, the principal reason for diagnostics is to comfort ourselves about the quality of such inferences. For example, we

## Filtering Data with L1 Regularisation

March 27, 2014
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$Filtering Data with L1 Regularisation$

A few days ago I posted about Filtering Data with L2 Regularisation. Today I am going to explore the other filtering technique described in the paper by Tung-Lam Dao. This is similar to the filter discussed in my previous post, but uses a slightly different objective function: where the regularisation term now employs the L1