Copulas and tail dependence, part 1

September 17, 2012 | arthur charpentier

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...]

Border bias and weighted kernels

August 31, 2012 | arthur charpentier

With Ewen (aka @3wen), not only we have been playing on Twitter this month, we have also been working on kernel estimation for densities of spatial processes. Actually, it is only a part of what he was working on, but that part on kernel estimation... [Read more...]

R: Dueling normals

May 18, 2010 | Matt Asher

More playing around with R. To create the graph above, I sampled 100 times from two different normal distributions, then plotted the ratio of times that the first distribution beat the second one on the y-axis. The second distribution always had a mean of 0, the mean of first distribution went from 0 ... [Read more...]

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