In my my last post I described how to produce a multivariate choropleth map with R. Now I will show …
Posts Tagged ‘ R-english ’
Maps with R (I)
This is the first post of a short series to show some code I have learnt to produce maps with …
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 ...
MAT8886 the Dirichlet distribution
In the course, still introducing some concept of dependent distributions, we will talk about the Dirichlet distribution (which is a distribution over the simplex of ). Let denote the Gamma distribution with density (on ) Let denote independent...
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,...
MAT8886 exchangeability, credit risk and risk measures
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...
MAT8886 a short word on profile likelihood
Profile likelihood is an interesting theory to visualize and compute confidence interval for estimators (see e.g. Venzon & Moolgavkar (1988)). As we will use is, we will plot But more generally, it is possible to consider where . Then (...
On linear models with no constant and R2
In econometrics course we always say to our students that "if you fit a linear model with no constant, then you might have trouble. For instance, you might have a negative R-squared". So I tried to find databases on the internet such that, when we ...
MAT886 mean excess function (and reinsurance)
Tomorrow, in the course on extreme value, we will focus on applications. We will discuss reinsurance pricing. Consider a random variable , a threshold and define the mean excess function. This function is known in life insurance as the average ...
It is "simply" the average value
for some obscure reasons, simple things are usually supposed to be simple. Recently, on the internet, I saw a lot of posts on the "average time in which you hold a stock", and two rather different values are mentioned "Take any stock in the United ...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).