B*tchin’ six dimensional 6-cube. The rainbow colours and glass panes really help this visualisation. Examples of 6-dimensional things If it’s hard to envision 6 dimensions, consider this: the possible tunings of a guitar constitute a 6-dimensio...

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Winsorization replaces extreme data values with less extreme values. But why Extreme values sometimes have a big effect on statistical operations. That effect is not necessarily a good effect. One approach to the problem is to change the statistical operation — this is the field of robust statistics. An alternative solution is to just change … Continue reading...

If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a discussion of the efficacy of … Continue reading...

In a previous post I introduced the Smith for Congress data set. The data is 49k contributions made by individuals to a congressional campaign for the 2006-2010 electoral cycles. Smith for Congress is not the name of the actual campaign. Individual contributions are not required to be disclosed by a campaign unless the individual donates