Posts Tagged ‘ R-english ’

Visualization in regression analysis

February 23, 2012
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Visualization in regression analysis

Visualization is a key to success in regression analysis. This is one of the (many) reasons I am also suspicious when I read an article with a quantitative (econometric) analysis without any graph. Consider for instance the following dataset, obtai...

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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 the Dirichlet distribution

February 15, 2012
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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...

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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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MAT8886 exchangeability, credit risk and risk measures

February 10, 2012
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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...

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MAT8886 a short word on profile likelihood

February 7, 2012
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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 (...

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On linear models with no constant and R2

February 2, 2012
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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 ...

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MAT886 mean excess function (and reinsurance)

February 1, 2012
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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 ...

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It is "simply" the average value

January 24, 2012
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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 ...

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Even odds

January 22, 2012
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Even odds

This evening, I found a nice probabilistic puzzle on http://www.futilitycloset.com/ "A bag contains 16 billiard balls, some white and some black. You draw two balls at the same time. It is equally likely that the two will be the same color as diff...

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