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... [Read more...]

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 ... [Read more...]

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... [Read more...]

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... [Read more...]

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... [Read more...]

[This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want [Read more...]

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... [Read more...]

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... [Read more...]

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 ... [Read more...]

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 ... [Read more...]

Consider a random pair of binary responses, i.e. with taking values 1 or 2. Assume that probability can be function of some covariates . The Gaussian vector latent structure A standard model is based a latent Gaussian structure, i.e. there exi... [Read more...]

So I previously took a look at some data of player performance from a computer game. In this post, I’m going to do some further visualisations using ggplot2. The data consists of different types of player character, different roles for those characters, and their overall damage output (the unit ... [Read more...]

I came up with an idea to draw correlation network to get a grasp about relationship between a list of stocks. An alternative way to show correlation matrix would be head map, which can have limitations with big matrices (__100). Unfortunately,  ggplot2 package doesn’t have a easy way to draw ... [Read more...]

When analyzing a questionnaire, one often wants to view the correlation between two or more Likert questionnaire item’s (for example: two ordered categorical vectors ranging from 1 to 5). When dealing with several such Likert variable’s, a clear presentation of all the pairwise relation’s between our variable can be ... [Read more...]

In the puzzle found in Le Monde of this weekend, the mathematical object behind the silly story is defined as a pseudo-Spearman rank correlation test statistic, where the difference between the ranks of the paired random variables and is in absolute value instead of being squared as in the Spearman ... [Read more...]

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