# Posts Tagged ‘ R-english ’

## On Box-Cox transform in regression models

November 13, 2012
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$Y_i=\beta_0+\beta_1 X_i+\varepsilon_i$

A few days ago, a former student of mine, David, contacted me about Box-Cox tests in linear models. It made me look more carefully at the test, and I do not understand what is computed, to be honest. Let us start with something simple, like a linea...

## Why pictures are so important when modeling data?

October 31, 2012
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$R^2$

(bis repetita) Consider the following regression summary,Call: lm(formula = y1 ~ x1)   Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 3.0001 1.1247 2.667 0.02573 * x1 0.5001 0.1179 4.241 0.00217 **...

## Fractals and Kronecker product

October 17, 2012
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$T=\frac{1}{8}\left(\begin{matrix}1& 0 & 1 \\ 0 & 4 & 0 \\ 1 & 0&1\end{matrix}\right)$

A few years ago, I went to listen to Roger Nelsen who was giving a talk about copulas with fractal support. Roger is amazing when he gives a talk (I am also a huge fan of his books, and articles), and I really wanted to play with that concept ...

## Compound Poisson and vectorized computations

October 12, 2012
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Yesterday, I was asked how to write a code to generate a compound Poisson variables, i.e. a series of random variables  where  is a counting random variable (here Poisson disributed) and where the 's are i.i.d (and ind...

## Maximum likelihood estimates for multivariate distributions

September 22, 2012
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Consider our loss-ALAE dataset, and - as in Frees & Valdez (1998) - let us fit a parametric model, in order to price a reinsurance treaty. The dataset is the following, > library(evd) > data(lossalae) > Z=lossalae > X=Z;Y=Z ...

## Interactive 3d plot, in R

September 20, 2012
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Following the course of this afternoon, I will just upload some codes to make interactive 3d plots, in R. > library(rgl) > library(evd); > data(lossalae) > U=rank(lossalae+rnorm(nrow(lossalae), + mean=0,sd=.001))/(nrow(lossalae)+1) ...

## (nonparametric) Copula density estimation

September 20, 2012
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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...

## Copulas and tail dependence, part 3

September 18, 2012
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We have seen extreme value copulas in the section where we did consider general families of copulas. In the bivariate case, an extreme value can be writtenwhere is Pickands dependence function, which is a convex function satisfyingObserve that in ...

## Copulas and tail dependence, part 2

September 18, 2012
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An alternative to describe tail dependence can be found in the Ledford & Tawn (1996) for instance. The intuition behind can be found in Fischer & Klein (2007)). Assume that and have the same distribution. Now, if we assume that those vari...

## Copulas and tail dependence, part 1

September 17, 2012
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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...