Articles by arthur charpentier

The odds of a cluster of airplane accidents

August 2, 2014 | arthur charpentier

Recently, there have been a lot of airplane accidents. July, 17th 2014, Hrabove, Ukraine, Malaysia Airlines, Boeing 777, fatalities 298 (/298) July, 23rd 2014, Magong, Taiwan, TransAsia Airways, ATR 72-500, fatalities 47 (/58) July, 24th 2014, Aguelhok, Mali, Air Algerie, Mc Donnell Douglas MD-83, fatalities 116 (/116) It is simple to find a lot of datasets about airplane crashes. For ... [Read more...]

The Pay-for-Performance Myth

July 28, 2014 | arthur charpentier

Last week, Eric Chemi and Ariana Giorgi published an interesting article on “The Pay-for-Performance Myth” With all the public chatter about exorbitant executive compensation and income inequality, it’s useful to look at the relationship between chief executive officer pay and corporate performance. Typically, when the subject of their big ... [Read more...]

Cigarette and life expectancy

July 28, 2014 | arthur charpentier

Yesterday evening, I uploaded a graph, with the labor productivity as a function of coffee consumption. Of course, it was for fun ! With this kind of regression, base on aggregated data, we can say almost anything, since most of them are correlated because of some (hidden) common factor, such as ... [Read more...]

Coffee and Productivity

July 27, 2014 | arthur charpentier

On Twitter, I was asked if there were serious research papers published on coffee consumption and labour productivity. There are some papers on coffee breaks and productivity, e.g. Productivity Through Coffee Breaks, but I could not find anything on coffee consumptions. Since I could not find any dataset with ... [Read more...]

Income distribution and Tour de France

July 21, 2014 | arthur charpentier

A few days ago, Jean-François Mignot published an interesting article entitled Tour de France 2014 : pourquoi le vainqueur gagne 100 fois plus que le 10e. In this article, we have the following graph, with the income of the cyclist, as a function of his final ranking (the data where downloaded from ... [Read more...]

Bayesian Wizardry for Muggles

July 11, 2014 | arthur charpentier

Monday, I will be giving the closing talk of the R in Insurance Conference, in London, on Bayesian Computations for Actuaries, as to be more specific, Getting into Bayesian Wizardry… (with the eyes of a muggle actuary). The animated version of the slides (since we will spend some time on ... [Read more...]

Box plot, Fisher’s style

June 4, 2014 | arthur charpentier

In a recent issue of Significance, I discovered an interesting – and amuzing – figure, about some box & beard plot, in Dr Fisher’s casebook: Beard the statistician in his den. In French, the box plot (introduced by John Tukey, not George Box, as discussed in a previous post) is popular under ... [Read more...]

Your Life in Weeks

May 29, 2014 | arthur charpentier

This week, I discovered a picture on http://waitbutwhy.com/, which represent a (so-called) typical human life, in weeks, I found that interesting. But the first problem is that I don’t understand the limit, below: 90 years, that’s not the average life length. That’s not what you should ... [Read more...]

Allez les Bleus !

May 20, 2014 | arthur charpentier

In almost three weeks, the (FIFA) World Cup will start, in Brazil. I have to admit that I am not a big fan of soccer, so I will not talk to much about it. Actually, I wanted to talk about colors, and variations on some colors. For instance, there are ... [Read more...]

Computational Actuarial Science

May 9, 2014 | arthur charpentier

After some delay, the book Computational Actuarial Science with R is now annonced for July 2014. I don’t know if we will be able to get copies for the R in Insurance conference, in London, but I guess everyone is working on it. And kindly, CRC sent me the following ... [Read more...]

How Fast the Fastest Human Would Run 100m?

April 16, 2014 | arthur charpentier

Ethan Siegel wrote a post entitled The Math of the Fastest Human Alive five years ago, using regressions. An alternative is too use extreme value models (I wrote a post a long time ago on the maximum length of a tennis match using extreme value theory a few years ago). ... [Read more...]

Stationarity of ARCH processes

April 6, 2014 | arthur charpentier

In the context of AR(1) processes, we spent some time to explain what happens when  is close to 1. if  the process is stationary, if  the process is a random walk if  the process will explode Again, random walks are extremely interesting processes, with puzzling properties. For instance, as , and the ... [Read more...]

Inference for ARCH processes

April 2, 2014 | arthur charpentier

Consider some ARCH() process, say ARCH(), where with a Gaussian (strong) white noise . __ n=500 __ a1=0.8 __ a2=0.0 __ w= 0.2 __ set.seed(1) __ eta=rnorm(n) __ epsilon=rnorm(n) __ sigma2=rep(w,n) __ for(t in 3:n){ + sigma2[t]=w+a1*epsilon[t-1]^2+a2*epsilon[t-2]^2 + epsilon[t]=eta[t]*sqrt(sigma2[t]) + } __ par(... [Read more...]

Modeling the Marginals and the Dependence separately

April 1, 2014 | arthur charpentier

When introducing copulas, it is commonly admitted that copulas are interesting because they allow to model the marginals and the dependence structure separately. The motivation is probably Sklar’s theorem, which says that given some marginal cumulative distribution functions (say  and , in dimension 2), and a copula (denoted ), then we can ... [Read more...]

Correlation with constraints on pairs

March 31, 2014 | arthur charpentier

An interesting question was posted on http://math.stackexchange.com/726205/…: if one knows the covariances  and , is it possible to infer ? I asked myself a question close to this one a few weeks ago (that I might also relate to a question I asked a long time ago, about possible ... [Read more...]
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