Fractals and Kronecker product

October 17, 2012 | arthur charpentier

A few years ago, I went to listen to Roger Nelsen who was giving a talk about copulas with fractal support. Roger is amazing when he gives a talk (I am also a huge fan of his books, and articles), and I really wanted to play with that concept ... [Read more...]

Interactive 3d plot, in R

September 20, 2012 | arthur charpentier

Following the course of this afternoon, I will just upload some codes to make interactive 3d plots, in R. __ library(rgl) __ library(evd); __ data(lossalae) __ U=rank(lossalae[,1]+rnorm(nrow(lossalae), + mean=0,sd=.001))/(nrow(lossalae)+1) ... [Read more...]

Copulas and tail dependence, part 3

September 18, 2012 | arthur charpentier

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...]

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...]

Kendall’s function for copulas

September 12, 2012 | arthur charpentier

As mentioned in the course on copulas, a nice tool to describe dependence it Kendall's cumulative function. Given a random pair with distribution  , define random variable . Then Kendall's cumulative function is Genest and Rivest (1993) intr... [Read more...]

Association and concordance measures

September 12, 2012 | arthur charpentier

Following the course, in order to define assocation measures (from Kruskal (1958)) or concordance measures (from Scarsini (1984)), define a concordance function as follows: let be a random pair with copula , and with copula . Then define the so-... [Read more...]

That damn R-squared !

September 7, 2012 | arthur charpentier

Another post about the R-squared coefficient, and about why, after some years teaching econometrics, I still hate when students ask questions about it. Usually, it starts with "I have a _____ R-squared... isn't it too low ?" Please, feel free to fi... [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...]

Simple and heuristic optimization

June 29, 2012 | arthur charpentier

This week, at the Rmetrics conference, there has been an interesting discussion about heuristic optimization. The starting point was simple: in complex optimization problems (here we mean with a lot of local maxima, for instance), we do not ne... [Read more...]
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