Posts Tagged ‘ gaussian ’

(nonparametric) Copula density estimation

September 20, 2012
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(nonparametric) Copula density estimation

Today, we will go further on the inference of copula functions. Some codes (and references) can be found on a previous post, on nonparametric estimators of copula densities (among other related things).  Consider (as before) the loss-ALAE data...

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Copulas and tail dependence, part 1

September 17, 2012
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Copulas and tail dependence, part 1

As mentioned in the course last week Venter (2003) suggested nice functions to illustrate tail dependence (see also some slides used in Berlin a few years ago). Joe (1990)'s lambda Joe (1990) suggested a (strong) tail dependence index. For lower t...

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Border bias and weighted kernels

August 31, 2012
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Border bias and weighted kernels

With Ewen (aka @3wen), not only we have been playing on Twitter this month, we have also been working on kernel estimation for densities of spatial processes. Actually, it is only a part of what he was working on, but that part on kernel estimation...

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MAT8886 reducing dimension using factors

February 16, 2012
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MAT8886 reducing dimension using factors

First, let us recall a standard result from linear algebra: "real symmetric matrices are diagonalizable by orthogonal matrices". Thus, any variance-covariance matrix can be written since a variance-covariance matrix is also definite positive. In ...

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MAT8886 elliptically contoured distributions

February 15, 2012
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MAT8886 elliptically contoured distributions

(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...

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PhD defense on copulas

November 15, 2011
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(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: Freakonometrics - Tag - R-english. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave,...

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Does the Student based confidence interval have any interest in practice ?

February 20, 2011
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Does the Student based confidence interval have any interest in practice ?

Friday in the course of statistics, we started the section on confidence interval, and like always, I got a bit confused with the degrees of freedom of the Student (should it be or ?) and which empirical variance (should we consider the one wher...

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Will I ever be a bayesian statistician ? (part 1)

January 20, 2011
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Will I ever be a bayesian statistician ? (part 1)

Last week, during the workshop on Statistical Methods for Meteorology and Climate Change (here), I discovered how powerful bayesian techniques could be, and that there were more and more bayesian statisticians. So, if I was to fully understand app...

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cumsum ( rnorm(50), lend="butt", lwd=12, type="h" ) Cumulative…

December 8, 2010
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cumsum ( rnorm(50), lend="butt", lwd=12, type="h" )
Cumulative…

cumsum ( rnorm(50), lend="butt", lwd=12, type="h" ) Cumulative sum of 50 draws from a normal distribution. File this under mysteries of the Central Limit Theorem.

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R: Dueling normals

May 18, 2010
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R: Dueling normals

More playing around with R. To create the graph above, I sampled 100 times from two different normal distributions, then plotted the ratio of times that the first distribution beat the second one on the y-axis. The second distribution always had a mean of 0, the mean of first distribution went from 0 to 4,

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