1014 search results for "latex"

The secrets of a linear world exposed

July 15, 2014
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The secrets of a linear world exposed

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

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another R new trick [new for me!]

July 15, 2014
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another R new trick [new for me!]

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,

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R 3.1.1 is released (and how to quickly update it on Windows OS)

July 10, 2014
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R 3.1.1 is released (and how to quickly update it on Windows OS)

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

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Mathematical functions on non-numbers?!

July 10, 2014
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Mathematical functions on non-numbers?!

A question came up about regarding Q1.4.9 in Cherney, Denton, Waldron. Here is a snippet of the original question: Consider …Continue reading →

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Buster – a new R package for bagging hierarchical clustering

July 9, 2014
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Buster – a new R package for bagging hierarchical clustering

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...

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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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