995 search results for "latex"

recycling accept-reject rejections (#2)

July 1, 2014
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recycling accept-reject rejections (#2)

Following yesterday’s post on Rao’s, Liu’s, and Dunson’s paper on a new approach to intractable normalising constants, and taking advantage of being in Warwick, I tested the method on a toy model, namely the posterior associated with n Student’s t observations with unknown location parameter μ and a flat prior, which is “naturally” bounded by

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Tailoring univariate probability distributions

June 26, 2014
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Tailoring univariate probability distributions

This post shows how to build a custom univariate distribution in R from scratch, so that you end up with the essential functions: a probability density function, cumulative distribution function, quantile function and random number generator. In the beginning all you need is an equation of the probability density function, … Continue reading →

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A Simple Shiny App for Monitoring Trading Strategies

June 25, 2014
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A Simple Shiny App for Monitoring Trading Strategies

In a previous post I showed how to use  R, Knitr and LaTeX to build a template strategy report. This post goes a step further by making  the analysis  interactive. Besides the interactivity, the Shiny App also solves two problems : I can now access all my trading strategies from a single point regardless of the instrument traded.

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Conditional Distributions from some Elliptical Vectors

June 18, 2014
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Conditional Distributions from some Elliptical Vectors

This winter, in my ACT8595 course, I asked my students (that was some homework) to prove that it was possible to derive the conditional distribution when we have a Student-t random vector (and to get the analytical expression of the later). But before, let us recall a standard result about the Gaussian vector. If  is a Gaussian random vector, i.e. then  has a...

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R Markdown v2

June 18, 2014
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R Markdown v2

People rarely agree on a best authoring tool or language. Some people cannot live without \LaTeX{} because of the beauty and quality of its PDF output. Some \feel{} \uncomfortable{} \with{} \backslashes{}, and would rather live in another World Word. We have also witnessed the popularity of Markdown, an incredibly simple language (seriously? a LANGUAGE?) that has made reproducible research much easier.

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Tukey and Mosteller’s Bulging Rule (and Ladder of Powers)

June 16, 2014
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Tukey and Mosteller’s Bulging Rule (and Ladder of Powers)

When discussing transformations in regression models, I usually briefly introduce the Box-Cox transform (see e.g. an old post on that topic) and I also mention local regressions and nonparametric estimators (see e.g. another post). But while I was working on my ACT6420 course (on predictive modeling, which is a VEE for the SOA), I read something about a “Ladder of...

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checking for finite variance of importance samplers

June 10, 2014
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checking for finite variance of importance samplers

Over a welcomed curry yesterday night in Edinburgh I read this 2008 paper by Koopman, Shephard and Creal, testing the assumptions behind importance sampling, which purpose is to check on-line for (in)finite variance in an importance sampler, based on the empirical distribution of the importance weights. To this goal, the authors use the upper tail 

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A simple workflow for using R with Microsoft Office products

June 5, 2014
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A simple workflow for using R with Microsoft Office products

The challenge of integrating Microsoft products with R software has been an outstanding issue for several years. Reasons for these issues are complicated and related to fundamental differences in developing proprietary vs open-source products. To date, I don’t believe there has been a satisfactory solution but I present this blog as my attempt to work

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str Implementation for Data Frames

June 5, 2014
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The str function is perhaps the most useful function in R. It provides great information about the structure of some object. When I teach R, especially for those coming from SPSS, the str function for data frames provides the information they are use to seeing on the variable view tab. However, sometimes I want to display the information str...

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estimation of deformations of densities

May 21, 2014
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estimation of deformations of densities

Today, Jean-Michel Loubes from Toulouse gave a seminar in Dauphine on the estimation of deformations using Wassertsein distances. This is functional data analysis, where samples from random transforms of the original density are observed towards estimating the baseline (or true) measure As a neophyte, I found the problem of interest if difficult to evaluate, in

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