In the course, still introducing some concept of dependent distributions, we will talk about the Dirichlet distribution (which is a distribution over the simplex of ). Let denote the Gamma distribution with density (on )
Let denote independent... [Read more...]

[This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want [Read more...]

Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with a more general setting. For instance, in a old... [Read more...]

Profile likelihood is an interesting theory to visualize and compute confidence interval for estimators (see e.g. Venzon & Moolgavkar (1988)). As we will use is, we will plot
But more generally, it is possible to consider
where . Then (... [Read more...]

In econometrics course we always say to our students that "if you fit a linear model with no constant, then you might have trouble. For instance, you might have a negative R-squared". So I tried to find databases on the internet such that, when we ... [Read more...]

Tomorrow, in the course on extreme value, we will focus on applications. We will discuss reinsurance pricing. Consider a random variable , a threshold and define
the mean excess function. This function is known in life insurance as the average ... [Read more...]

for some obscure reasons, simple things are usually supposed to be simple. Recently, on the internet, I saw a lot of posts on the "average time in which you hold a stock", and two rather different values are mentioned
"Take
any stock in the United ... [Read more...]

This evening, I found a nice probabilistic puzzle on http://www.futilitycloset.com/ "A bag contains 16 billiard balls, some white and some black. You draw
two balls at the same time. It is equally likely that the two will be
the same color as diff... [Read more...]

Yesterday, we have discussed briefly sums and maximas of i.i.d. random variables using the concept of subexponential distributions. Today, we will introduce the concept of regular variation: a positive function is said to be regularly varying (at i... [Read more...]

Via @theEconomist, I understood that there might be connections between the price of Gold (which is said to be extremely high nowadays) and the VIX SP500 index (the option volatility index, i.e. the so-called "fear index", as discussed - in French-... [Read more...]

On http://www.bakadesuyo.com, there was recently an interesting discussion about infidelity, the key question being "at what ages are men and women most likely to have affairs?" The discussion is based on some graphs, e.g.
The source is a paper b... [Read more...]

Tomorrow, we will discuss Fisher-Tippett theorem. The idea is that there are only three possible limiting distributions for normalized versions of the maxima of i.i.d. samples . For bounded distribution, consider e.g. the uniform distribution on t... [Read more...]

With R, it is extremely easy to draw maps. Let us start with something simple, like French regions. Baptiste mentioned on his blog that shapefiles can be downloaded from http://ign.fr/ website. Hence, if you extract the zip file, it is possible to ... [Read more...]

[This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want [Read more...]

I will be in Lyon next Monday to give a talk on "Modeling heat-waves: return period for non-stationary extremes" in a workshop entitled "Changement climatique et gestion des risques". An interesting reference might be some pages from Le Monde (201... [Read more...]

Consider a (simple) Poisson regression . Given a sample where , the goal is to derive a 95%
confidence interval for given , where is the
prediction. Hence, we want to derive a confidence interval for the
prediction, not the potential observation... [Read more...]

The Gaussian vector is extremely interesting since it remains Gaussian when conditioning. More precisely, if is a Gaussian random vector, then the conditional distribution of is also Gaussian. Further, it is possible to derive explicitly the cova... [Read more...]

Recently, I have been reading odd things about strategies to win at the lottery. E.g.
or
I wrote something a long time ago, but maybe it would be better to write another post. First, it is easy to get data on the French lotteries, including dra... [Read more...]

Yesterday, I wrote a post (in French) about short-selling in financial market since some journalists claimed that it was well-known that short -selling does increase volatility on financial market. Not only in French speaking journals actually, sin... [Read more...]

The function slopeAspect from raster provides the vector field (gradient) from a scalar field stored in a RasterLayer object. The magnitude (slope) and direction (aspect) of the vector field is usually displayed with a set of arrows (e.g. quiver in Matlab). rasterVis includes now a method, vectorplot, to calculate ... [Read more...]

Copyright © 2022 | MH Corporate basic by MH Themes

e-mails with the latest R posts.

(You will not see this message again.)