Posts Tagged ‘ random walk ’

Ruin probability and infinite time

March 27, 2012
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Ruin probability and infinite time

A couple of weeks ago, I had a discussion with a practitioner, working in some financial company, about ruin, and infinite time. And it remind me a weird result. Well, not a weird result, but a result I found disturbing, at first, when I was a stud...

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Hey! I made you some Wiener processes!

September 7, 2011
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Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener for (j in 1:30) {        plot( homo.wiener,           type = "l", col = rgb(.1,....

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Hey! I made you some Wiener processes!

September 7, 2011
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Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener for (j in 1:30) {        plot( homo.wiener,           type = "l", col = rgb(.1,....

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The tightrope of the random walk

December 27, 2010
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The tightrope of the random walk

We’re really interested in markets, but we’ll start with a series of coin tosses.  If the coin lands heads, then we go up one; if it lands tails, we go down one. Figure 1: A coin toss path.Figure 1 is the result of one thousand coin flips.  It is a random walk. The R command … Continue reading...

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Statistique de l’assurance STT6705V, partie 12 bis

December 7, 2010
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Statistique de l’assurance STT6705V, partie 12 bis

In the previous post (here) discussing forecasts of actuarial quantities, I did not mention much how to forecast the temporal component in the Lee-Carter model. Actually, many things can be done. Consider here some exponential smoothing techniques ...

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Random dive MH

September 1, 2010
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Random dive MH

A new Metropolis-Hastings algorithm that I would call “universal” was posted by Somak Dutta yesterday on arXiv. Multiplicative random walk Metropolis-Hastings on the real line contains a different Metropolis-Hastings algorithm called the random dive. The proposed new value x’ given the current value x is defined by when is a random variable on . Thus,

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A repulsive random walk

May 28, 2010
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A repulsive random walk

Matt Asher posted an R experiment on R-bloggers yesterday simulating the random walk which has the property of avoiding zero by quickly switching to a large value as soon as is small. He was then wondering about the “convergence” of the random walk given that it moves very little once is large enough. The values

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R: A random walk though OOP land.

May 20, 2010
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If you are used to object oriented programing in a different language, the way R does things can seem a little strange and backwards. “proto” to the rescue. With this library you can simulate “normal” OOP. I found the examples for proto not so helpful, so to figure out how the package works I sent

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t-walk on the banana side

March 14, 2010
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t-walk on the banana side

Following my remarks on the t-walk algorithm in the recent A General Purpose Sampling Algorithm for Continuous Distributions, published by Christen and Fox in Bayesian Analysis that acts like a general purpose MCMC algorithm, Darren Wraith tested it on the generic (10 dimension) banana target we used in the cosmology paper. Here is an output

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t-walk on the wild side

March 11, 2010
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t-walk on the wild side

When I read in the abstract of the recent A General Purpose Sampling Algorithm for Continuous Distributions, published by Christen and Fox in Bayesian Analysis that We develop a new general purpose MCMC sampler for arbitrary continuous distributions that requires no tuning. I am slightly bemused. The proposal of the authors is certainly interesting and

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