Another post about the R-squared coefficient, and about why, after some years teaching econometrics, I still hate when students ask questions about it. Usually, it starts with "I have a _____ R-squared... isn't it too low ?" Please, feel free to fi...
Kendall’s Tau This is an example of Kendall’s Tau rank correlation. This is similar to Spearman’s Rho in that it is a non-parametric measure of correlation on ranks. It is an appropriate measure for ordinal data and is fairly straight forward when there are no ties in the ranks. When ties do exist then variations
Spearman’s Rho Rank Correlation There are generally three types of correlation that a researcher may encounter: Pearson’s r, Kendall’s Tau, and Spearman’s Rho. They each have their own uses and applications depending on the da...
Dependence in dimension 2 is difficult. But one has to admit that dimension 2 is way more simple than dimension 3 ! I recently rediscovered a nice paper, Langford, Schwertman & Owens (2001), on transitivity of the property of being positively c...
Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned...
(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers) Last week, we've introduced the concept of exchangeable variables, i.e. satisfying for any matrix , i.e. is a permutation matrix: belongs to the orthogonal group, , and with elements in . It is possible to extend that family, considering all matrices in the...
Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with a more general setting. For instance, in a old...
The Gaussian vector is extremely interesting since it remains Gaussian when conditioning. More precisely, if is a Gaussian random vector, then the conditional distribution of is also Gaussian. Further, it is possible to derive explicitly the cova...
I recently discovered a fascinating series of technical reports from the 1970s in the Purdue University e-Pubs archive that shine a surprising light on what are now known as the Halstead metrics. The first surprises came from Halstead’s A Software Physics Analysis of Akiyama’s Debugging Data; surprising in the size of the data set used
When dealing with transaction cost analysis, a stock’s volume is assumed to be stable or foreseeable. However, there is different picture, then we are dealing with an illiquid stock. It is relatively easy to forecast the volume of a liquid stock, because trading volume has high autocorrelation – the volumes at t and t+1 are correlated. For
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
