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

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.

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...

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

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