I've pushed version 0.1-8 of highlight to CRAN. highlight is a syntax highlighter for R that renders R source code into some markup language, the package ships html and latex renderers but is flexible enough to handle other formats. Syntax highligh...
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Confusing slice sampler
Most embarrassingly, Liaosa Xu from Virginia Tech sent the following email almost a month ago and I forgot to reply: I have a question regarding your example 7.11 in your book Introducing Monte Carlo Methods with R. To further decompose the uniform simulation by sampling a and b step by step, how you determine the 
Hitting the Big Data Ceiling in R
As a true R fan, I like to believe that R can do anything, no matter how big, how small or how complicated: there is some way to do it in R. I decided to approach my large, sparse matrix problem with this attitude. But here I sit a broken man.
There is no “native” big data support built into...
Random sudokus
After thinking about random sudokus for a few more weeks, I eventually came to read the paper by Newton and DeSalvo about the entropy of sudoku matrices. As written earlier, if we consider (as Newton and DeSakvo) a uniform distribution where the sudokus are drawn uniformly over the set of all sudokus, the entropy of 
Typo in Bayesian Core [again]
![Typo in Bayesian Core [again]](http://www.r-bloggers.com/wp-content/uploads/2010/05/cda_displayimage.jpg?SGWID=0-0-16-301393-0)
Reza Seirafi from Virginia Tech sent me the following email about Bayesian Core, which alas is pointing out a real typo in the reversible jump acceptance probability for the mixture model: With respect to the expression provided on page 178 for the acceptance probability of the split move, I was wondering if the omission of 
Using R, LaTeX, and Sweave for Reproducible Research: Handouts, Templates, & Other Resources
Several readers emailed me or left a comment on my previous announcement of Frank Harrell's workshop on using Sweave for reproducible research asking if we could record the seminar. Unfortunately we couldn't record audio or video, but take a look a...
Sweave for Reproducible Research and Beatiful Statistical Reports
Frank Harrell, chair of the Biostatistics department here at Vanderbilt, is giving a seminar entitled "Sweave for Reproducible Research and Beautiful Statistical Reports" tomorrow, Wednesday, May 12, 1:30-2:30pm, in the MRBIII Conference Room 1220. This tutorial covers the basics of Sweave and shows how to enhance the default output in various ways by using: latex methods for converting R...
Forsythe’s algorithm
In connection with the Bernoulli factory post of last week, Richard Brent arXived a short historical note recalling George Forsythe’s algorithm for simulating variables with density when (the extension to any upper bound is straightforward). The idea is to avoid computing the exponential function by simulating uniforms until since the probability of this event is 
Basket Option Pricing: Step by Step
%7D%20=%20S_t%5E%7B(0)%7D%20r_t%20dt%20%5C%5C%20dS_t%5E%7B(1)%7D%20=%20S_t%5E%7B(1)%7D%20(%5Cmu_t%5E%7B(1)%7D%20dt%20+%20%5Csigma_t%5E%7B(1)%7D%20dW_t%5E%7B(1)%7D)%20%5C%5C%20dS_t%5E%7B(2)%7D%20=%20S_t%5E%7B(2)%7D%20(%5Cmu_t%5E%7B(2)%7D%20dt%20+%20%5Csigma_t%5E%7B(2)%7D%20dW_t%5E%7B(2)%7D)%20%5C%5C%20%5Ctext%7Bwhere%20%7D%20%20dW_t%5E%7B(1)%7DdW_t%5E%7B(2)%7D=%5Crho%20dt&bg=ffffff&%23038;fg=000000&%23038;s=0)
I find options fascinating because they deal with the abstract ideas of volatility and correlation, both of which are unobservable and can often seem like wild animal spirits (take the current stock market as an example). Understanding these subtle concepts is never easy, but it is essential in pricing some of the more exotic
Candy branching process
The mathematical puzzle in the latest weekend edition of Le Monde is as follows: Two kids are given three boxes of chocolates with a total of 32 pieces. Rather than sharing evenly, they play the following game: Each in turn, they pick one of the three boxes, empty its contents in a jar and pick 
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
