Blog Archives

Rupture Detection

December 13, 2016
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Rupture Detection

There are some graphs that you cannot forget. One graph that I found puzzling was mentioned on Andrew Gelman’s blog, a few years back, and was related to rupture detection What I remember from this graph is that if you want to get a rupture, you can easily find one… Recently, I had to review a paper, and Imbens...

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Non-Uniform Population Density in some European Countries

April 17, 2016
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Non-Uniform Population Density in some European Countries

A few months ago, I did mention that France was a country with strong inequalities, especially when you look at higher education, and research teams. Paris has almost 50% of the CNRS researchers, while only 3% of the population lives there. CNRS, "répartition des chercheurs en SHS" http://t.co/39dcJJBwrF, Paris 47.52% IdF 66.85% (pop 3.39% et 18.18% resp) pic.twitter.com/OsEXiFywPf — Arthur...

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How long could it take to run a regression

April 6, 2016
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How long could it take to run a regression

This afternoon, while I was discussing with Montserrat (aka @mguillen_estany) we were wondering how long it might take to run a regression model. More specifically, how long it might take if we use a Bayesian approach. My guess was that the time should probably be linear in , the number of observations. But I thought I would be good to check. Let...

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Computational Actuarial Science, with R, in Barcelona

April 5, 2016
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This Wednesday, I will give a graduate crash course on computational actuarial science, with R, which will be the second part of the lecture of Tuesday. Slides are now available,

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Where People Live, part 2

April 4, 2016
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Where People Live, part 2

Following my previous post, I wanted to use another dataset to visualize where people live, on Earth. The dataset is coming from sedac.ciesin.columbia.edu. We you register, you can download the database > base=read.table("glp00ag15.asc",skip=6) The database is a ‘big’ 1440×572 matrix, in each cell (latitude and longitude) we have the population > X=t(as.matrix(base,ncol=1440)) > dim(X) 1440 572 The dataset...

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Classification on the German Credit Database

March 18, 2016
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Classification on the German Credit Database

In our data science course, this morning, we’ve use random forrest to improve prediction on the German Credit Dataset. The dataset is > url="http://freakonometrics.free.fr/german_credit.csv" > credit=read.csv(url, header = TRUE, sep = ",") Almost all variables are treated a numeric, but actually, most of them are factors, > str(credit) 'data.frame': 1000 obs. of 21 variables: $ Creditability : int 1...

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Forecasts with ARIMA Models

March 16, 2016
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Forecasts with ARIMA Models

In our time series class this morning, I was discussing forecasts with ARIMA Models. Consider some simple stationnary AR(1) simulated time series > n=95 > set.seed(1) > E=rnorm(n) > X=rep(0,n) > phi=.85 > for(t in 2:n) X=phi*X+E > plot(X,type="l") If we fit an AR(1) model, > model=arima(X,order=c(1,0,0), + include.mean = FALSE) > P=predict(model,n.ahead=20) > plot(P$pred) > lines(P$pred+2*P$se,col="red") > lines(P$pred-2*P$se,col="red")...

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Where People Live

March 3, 2016
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Where People Live

There was an interesting map on reddit this morning, with a visualisation of latitude and longituge of where people live, on Earth. So I tried to reproduce it. To compute the density, I used a kernel based approch > library(maps) > data("world.cities") > X=world.cities > liss=function(x,h){ + w=dnorm(x-X,0,h) + sum(X*w) + } > vx=seq(-80,80) > vy=Vectorize(function(x) liss(x,1))(vx) > vy=vy/max(vy)...

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R Crash Course, Data Science for Actuaries, Year 2

March 1, 2016
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R Crash Course, Data Science for Actuaries, Year 2

This Monday, we will start the second year of the Actuary: Data Science (ADS) program, supported by the (French) Institute of Actuaries. I will be there on monday morning for the opening, and we will start the R & Datamining course. The slides are now online, In order to get nice slides, I have been using slidify.

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Mortality by Weekday and Age

February 27, 2016
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Mortality by Weekday and Age

A few days ago, I did mention on Twitter a nice graph, with Mortality by Weekday and Age https://t.co/LyzQ7nJABZ very interesting difference, young vs. old pic.twitter.com/EfrX0C1GBS — Arthur Charpentier (@freakonometrics) 27 février 2016 My colleague Jean-Philippe was extremely sceptical, so I tried to reproduce that graph. The good thing is that we have the Social Security Death Master File,...

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