Like many concepts in mathematics, linearity has multiple interpretations and meanings. What do we mean when we say something is …Continue reading →

While working with Andrew and a student from Dauphine on importance sampling, we wanted to assess the distribution of the resulting sample via the Kolmogorov-Smirnov measure where F is the target. This distance (times √n) has an asymptotic distribution that does not depend on n, called the Kolmogorov distribution. After searching for a little while,

R 3.1.1 (codename “Sock it to Me“) was released today! You can get the latest binaries version from here. (or the .tar.gz source code from here). The full list of new features and bug fixes is provided below. Upgrading to R 3.1.1 on Windows If you are using Windows you can easily upgrade to the latest version of R using the

I recently found myself a bit stuck. I needed to cluster some data. The distances between the data points were not representable in Euclidean space so I had to use hierarchical clustering. But then I wanted stable clusters that would retain their shape as I updated the data set with new observations. This I could … Continue reading...

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

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 →

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.

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...

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.