A Greek Professor of Economics has written up a thought-provoking series of articles on complexity fetishism. As part of his …Continue reading »

Another year, another Australia Day. Another Australia Day, another Triple J Hottest 100. And that, of course, means an excellent excuse to set R to work on the chart data. For those outside Australia, the Hottest 100 is a chart of the most popular songs of the previous year, as voted by the listeners of

How symmetric are the returns of the S&P 500? How does the skewness change over time? Previously We looked at the predictability of kurtosis and skewness in S&P constituents. We didn’t see any predictability of skewness among the constituents. Here we look at skewness from a different angle. The data Daily log returns of the … Continue reading...

In my last post, I discussed the Hampel filter, a useful moving window nonlinear data cleaning filter that is available in the R package pracma. In this post, I briefly discuss this moving window filter in a little more detail, focusing on two important practical points: the choice of the filter’s local outlier detection threshold, and the question of...

Another arXiv posting I had had no time to comment is Nial Friel’s and Jason Wyse’s “Estimating the model evidence: a review“. This is a review in the spirit of two of our papers, “Importance sampling methods for Bayesian discrimination between embedded models” with Jean-Michel Marin (published in Jim Berger Feitschrift, Frontiers of Statistical Decision