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 ... [Read more...]

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... [Read more...]

Today's guest post comes to us from Andrew Winterman, Data Designer at data visualization company Persiscopic. He shares with us the process of using the R language and other tools to create an interactive data application for a client — ed. The Hewlett Foundation contacted us a few months ago because ... [Read more...]

ggplot2 is one of the most elegant R package for data analysis and visualization.  Recently I gave a tutorial on ggplot2 package.  You could find my ggplot2 notes here(click the image below). You could find my presentation slide below. The … Continue reading →The post R Graphics with ggplot2 appeared ... [Read more...]

MathJax allows you to customize how \( \LaTeX \) is displayed. Simply right click over the math you’d like to see to access the display menu. Under “math settings” you can see zoom trigger and factor options. Given how small the text ... [Read more...]

The classic Pythagorean identity is:  \(sin^2(\theta) + cos^2(\theta) =1 \) The binomial formula which calculates the probability of obtaining k tails when flipping a coin n times, with a assumed probability p for each trial is: \( P(E)   = {n \choos... [Read more...]

The problem: There are a lot of figures in published papers in the scholarly literature, like the below, from (Attwood et. al. 2012)): At some point, a scientist wants to ask a question for which they can synthesize the knowledge on that question b... [Read more...]

Every year the UK’s general insurance actuarial community organises a big conference, which they call GIRO, short for General Insurance Research Organising committee. This year's conference is in Brussels from 18 - 21 September 2012. Despite the fac... [Read more...]

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... [Read more...]

Forecasters are often met with skepticism. Almost every time I tell someone that I work in forecasting, they say something about forecasting the stock market, or forecasting the weather, usually suggesting that such forecasts are hopelessly inaccurate. In fact, forecasts of the weather are amazingly accurate given the complexity of ... [Read more...]

First, just a quick update: I’m moving the release date of the SIT package a few months down the road, probably in November. Now back to the post. Recently I came across a series of interesting posts about the Permanent Portfolio at the GestaltU blog. Today I want to ... [Read more...]

In search of large ice floes. [Read more...]

This links back to previous posts here and here. Earlier today, I had a quick chat with Michela (by email, actually) on this topic. In particular, she was trying to use the function I've written to compute summaries from the posterior distrib... [Read more...]

A week from today (on September 24) Coursera, an education technology company committed to making education freely available to any person who seeks it, is launching their online course “Computing […] [Read more...]

In this podcast interview with Michael Kane, Data Scientist and Associate Researcher at Yale University, Michael discusses the R statistical programming language, computational challenges associated with big data, and two projects involving data analysis he conducted on the stock market "flash crash" of May 6, 2010, and the tracking of transportation routes ... [Read more...]

I have been exploring how to speed up some of my R scripts and have started reading about some amazing corners of R. My first weapon was the Rcpp and RcppArmadillo package. These are wonderful tools and even for someone that has never written c++ before, there are enough to ... [Read more...]

In example 10.1 we introduced data from a CPAP machine. In brief, it's hard to tell exactly what's being recorded in the data set, but it seems to be related to the pattern of breathing. Measurements are taken five times a second, leading to on the o... [Read more...]

Today's guest post is from Ron Fredericks, videographer and co-founder of LectureMaker, LLC — ed. I was initially surprised to find R user groups (RUGs) so popular. I filmed my first R session during the 2009 Predictive Analytics World in San Francisco. I filmed several more R user sessions over the past ... [Read more...]

I first experimented with word clouds several years ago and used them to visualise the speeches of Kevin Rudd and Malcolm Turnbull. I have now learned from the Fell Stats blog (via R-Bloggers) that there is an R package for generating word clouds.  The package makes use of tm, a ... [Read more...]

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