July 2020

Outliers and Domain Knowledge

July 10, 2020 | Jerry Tuttle

by Jerry Tuttle       I would like to share some thoughts about outliers and domain knowledge.       One of the common steps during the data exploration stage is the search for outliers. Some analysis methods such as regression are very sensitive to outliers. As an example of sensitivity, in the following data (10,10) ... [Read more...]

Testing expectations

July 9, 2020 | R on OSM

In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We...
[Read more...]

Testing expectations

July 9, 2020 | R on OSM

In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We...
[Read more...]

Testing expectations

July 9, 2020 | R on OSM

In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We briefly considered whether such changes warranted rebalancing and what impact rebalancing might ...
[Read more...]

deterministic moves in Metropolis-Hastings

July 9, 2020 | xi'an

A curio on X validated where an hybrid Metropolis-Hastings scheme involves a deterministic transform, once in a while. The idea is to flip the sample from one mode, ν, towards the other mode, μ, with a symmetry of the kind μ-α(x+μ) and ν-α(x+ν) with α a positive coefficient. Or the reciprocal, ...
[Read more...]

Universal inference in R

July 8, 2020 | Bluecology blog

Universal inference in R When we perform a statistical test we’d like to have confidence what the Type I error rate is what we say it is (rate of false positive findings). Often scientists choose a rate (AKA ‘alpha’) of 0.05 for rejecting the nu... [Read more...]
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