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Somewhere else, part 54

May 19, 2013
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tree-monde-world Several posts and articles, this week, starting with this nice “Quantifying the consensus on anthropogenic global warming in the scientific literature” http://iopscience.iop.org/… (by skepticscience) On Stein’s paradox http://normaldeviate.wordpress.com/… “The 1 Percent Are Only Half the Problem” http://opinionator.blogs.nytimes.com/… by TimothyNoah1 via petergklein: “Many artists have also been superb entrepreneurs” http://economist.com/8175675 “Texting While Driving and Other...
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Playing cards in Vegas?

May 19, 2013
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carre-as-hasard In a previous post, a few weeks ago, I mentioned that I will be in Las Vegas by the end of July. And I took the opportunity to write a post on roulette(s). Since some colleagues told me I should take some time to play poker there, I guess I have to understand how...
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Somewhere else, part 53

May 15, 2013
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globe-boxes Several interesting posts, here and there, this week From April 26th until May 7th, 1986, in Europe, via http://ucsusa.org/news/… see “Why have so few bankers gone to jail for their part in the financial crisis?” http://economist.com/blogs/economist-explains/… via TheEconomist “The French elite: where it went wrong” http://ft.com/intl/cms/… via LaGuirlande http://math.stackexchange.com/… “How often...
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From a random generator to a sample function

May 14, 2013
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randomness10b This week-end, I wrote a post since I had some trouble to generate a sample random sample with R, to reproduce one obtained by a co-author, with SAS (generated using Fishman and Moore (1982) used in function RANUNI). I was lucky since another contributor for that book, Christrophe Dutang, got the anwer to the last...
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Retour au Franc (back to the 70′s)

May 12, 2013
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1_franc_état_français_revers L’autre jour, en regardant des catalogues de jeux avec les enfants, je me suis fait la réflexion que les prix des jouets (en dollars canadiens) me faisaient penser au prix des jouets (en francs) quand j’étais petit. Je me suis souvenu d’un Noël où mon père me demandait si je voulais vraiment le truc-que-j’ai-depuis-oublié...
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Somewhere else, part 52

May 11, 2013
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earth-scaled1000 The most interesting post read those past days is, without any doubt, “Liberal Wonk Blogging Could Be Your Life” http://nextnewdeal.net/rorybomb/… by rortybomb (which is some kind of answer to http://peterfrase.com/…).  This post was mentioned in “In Praise of Econowonkery” http://krugman.blogs.nytimes.com/… (discoverd via MarkThoma and DEAGiles) but I strongly recommand to read the original post,...
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Playing cards, with R

May 11, 2013
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cards-hasard-random In my courses on R, I usually show how to insert a picture as a background for a graph. But it is also to see the picture as an object, and to insert it in a graph everywhere we like to see it, as explained on the awesome blog http://rsnippets.blogspot.ca/…. (in a post published...
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Reproducibility and randomness

May 11, 2013
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hasard With Stéphane Tufféry, we were working this week on a chapter of a book, entitled Statistical Learning in Actuarial Science. The chapter should be based on R functions, and we wanted to reproduce some outputs he previously obtained with SAS. The good thing is that even complex functions (logistic regression, regression trees, etc) produce...
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Somewhere else, part 51

May 8, 2013
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15237066-earth-with-relief-stylized-continents-surrounded-by-a-wired-network Series of links to (interesting) posts and articles “Life in the City Is Essentially One Giant Math Problem” http://smithsonianmag.com/ideas-innovations/… “Reinhart-Rogoff’s Lesson for Economists” http://bloomberg.com/news/… via econoclaste and MarkThoma discussion on “Batman Equation” http://math.stackexchange.com/… via mathematicsprof and Econo_Stats see also http://wolframalpha.com/?i=batman+equation … see  5,000,000 datasets http://www.quandl.com/  available via function Quandl in R, see http://econometricsbysimulation.com/… via rbloggers “When a person...
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Poisson regression on non-integers

May 7, 2013
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DoreNoir-poisson In the course on claims reserving techniques, I did mention the use of Poisson regression, even if incremental payments were not integers. For instance, we did consider incremental triangles > source("http://perso.univ-rennes1.fr/arthur.charpentier/bases.R") > INC=PAID > INC=PAID-PAID > INC 3209 1163 39 17 7 21 3367 1292 37...
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La belle-mère et la bataille

May 4, 2013
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set-jeu-de-societe-format-voyage-boite-bois-mikado-des-dominos-cartes Ce soir, les enfants voulaient lancer une partie de bataille dix minutes avant de souper. Devant mon peu d’enthousiasme (on ne sait jamais trop quand ce genre de parties finissent), ma belle-mère a suggéré qu’au lieu de jouer à deux (comme le voulaient les deux grands), on devrait jouer à quatre, et comme ça,...
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Somewhere else, part 51

May 4, 2013
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earth-3d Some posts and articles, discovered this week on the internet, “3 Reasons Why Your Predictions Of The Future Will Go Wrong” http://fastcoexist.com/mba/… The Folk Theorem of Statistical Computing, according to ‏StatModeling “When you have computational problems, often there’s a problem with your model“ http://andrewgelman.com/… “Microfounded Social Welfare Functions” http://mainlymacro.blogspot.ca/… via TweetEcon interesting survey, http://embruns.net/logbook/… on embruns‘s (awesome)...
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May the 4th (be with you)

May 4, 2013
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kitty-jedi-star-wars Today is a special day, for all us who did grow up with Star Wars, And on the internet, one can easily found serious posts, related to Star Wars, for instance, a series of posts on quantifying Stars Wars, with part I, http://theskepticalstatistician.blogspot.ca/…, part II, http://theskepticalstatistician.blogspot.ca/…  and http://theskepticalstatistician.blogspot.ca/…, and finally part III, http://theskepticalstatistician.blogspot.ca/…, for statisticians. One can also read...
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LaTeX in R graphs

May 3, 2013
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maths-dice-de A nice post was recently published on the rsnippets blog, about the tikzDevice R package. This package is – indeed – awesome. Even if it has been removed from the CRAN website. Of course, it can be download from the archive folder, on http://cran.r-project.org/…, but also (for a more recent version)  on http://download.r-forge.r-project.org/…. But first,...
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Animation, from R to LaTeX

May 3, 2013
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copF Just a short post, to share some codes used to generate animated graphs, with R. Assume that we would like to illustrate the law of large number, and the convergence of the average value from binomial sample. We can generate samples  using > n=200 > k=1000 > set.seed(1) > X=matrix(sample(0:1,size=n*k,replace=TRUE),n,k) Each row  will be...
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Somewhere else, part 50

April 30, 2013
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terre A lot of interesting posts and articles, this week, here and there “How game theory will stop Iranian nukes” by Ariel Rubinstein http://haaretz.com/weekend/… via margrev  ”A Brief Tour of the Trees and Forests” http://statistical-research.com/… via rbloggers and paulblaser (in 2006), “U.S. universities raise tuition, and applicants follow” http://nytimes.com/… “How to destroy the internet” http://gizmodo.com/…...
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Financial model complexity

April 30, 2013
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index-xls Today, Olivier Scaillet gave a great talk on fast recursive projections. The idea was great, and the talk was amazing. A great plenary session talk actually. And after lunch, while we were having a coffee, we started to discuss about financial model complexity, mentioning that sometimes, traders and quants are lost, and it might...
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Advanced methods in trees

April 28, 2013
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moneytree I will give a talk tomorrow morning at the Mathematical  Finance Days, organized in HEC Montréal Monday and Tuesday, on Advanced methods in trees with (as mentioned in the subtitle of the first slide) a some thoughts on teaching mathematical finance. It is mainly a survey on advanced tools, based on the idea expressed in...
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Loi de Stigler, langue et publication

April 27, 2013
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9669347-abstrait-alphabet-anglais-dans-des-blocs-de-bois-antique-typographie-de-taille-differente-et-de-styl Lundi, je dois faire un exposé aux Journées de Finance Mathématiques de Montréal, qui sont organisées comme tous les ans à HEC. Avec les collègues, on a - à nouveau – relancé, entre nous, autour d’un café, le débat du “pourquoi on ne présente pas en français ?” cher aux québécois (le site est d’ailleurs à la fois en français,...
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Somewhere else, part 49

April 25, 2013
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monde-globe-map Some extremely interesting posts, this week, again on the Reinhart-Rogoffing story (I do mention many posts and articles related to that story, because I think it is extremely informative about how research in Economics actually works…) “Understanding the NBER” http://krugman.blogs.nytimes.com/… , ”My take on Reinhart-Rogoff” http://fieldsfinance.blogspot.ca/…, “Is More Peer Reviewing the Answer?” http://jaredbernsteinblog.com/… by econjared...
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Provisionnement et tarification, examen final

April 24, 2013
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tumblr_mh5sgtokhF1qcgb74o4_100 L’examen final du cours ACT2040 avait lieu ce matin. L’énoncé est en ligne ainsi que des éléments de correction. En cas d’erreurs, merci de me le faire savoir rapidement, avant que je ne saisisse les notes. Arthur CharpentierArthur Charpentier, professor in Montréal, in Actuarial Science. Former professor-assistant at ENSAE Paristech, associate professor at Ecole Polytechnique...
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In three months, I’ll be in Vegas (trying to win against the house)

April 21, 2013
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25-bellagio In fact, I’m going there with my family and some friends, including two probabilists (I mean professionals, I am merely an amateur), with this incredible challenge: will I be able to convince  probabilists to go to play at the Casino? Actually, I also want to study them carefully, to understand how we should play...
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Somewhere else, part 48

April 20, 2013
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globe-5 Following previous posts on this blog (# 46 and 47), a couple of articles that are worth reading, The end of the Reinhart-Rogoffing story, with interesting some posts, e.g. “Reinhart/Rogoff-gate isn’t the first time austerians have used bad data” http://washingtonpost.com/blogs/wonkblog…, ”The Math Errors That Slip Through the Crack” http://blogs.wsj.com/numbersguy/… , ”What next for economic journal publishing after...
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Somewhere else, part 47

April 18, 2013
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conranglobe Still a lot of posts, those past days, about Reinhart-Rogoffing e.g. http://www.reuters.com/article/…, http://washingtonpost.com/blogs/wonkblog/…,  http://guardian.co.uk/commentisfree/…, http://bloomberg.com/news/…, http://oregoneconomicanalysis.wordpress.com/…, http://mainlymacro.blogspot.ca/…,  http://blogs.ft.com/ftdata/… , http://businessinsider.com/…, http://economist.com/news/… or http://ideas.time.com/… to get a better understanding of what happened “Reverse-causality” on felixsalmon ‘s blog http://blogs.reuters.com/felix-salmon/… see and to conclude (?) http://bloomberg.com/news/… Of course, there are other posts and articles, on other topics, “From geeky to cool: Statistics is Berkeley’s fastest-growing...
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Somewhere else, part 46

April 17, 2013
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globe-ice Interesting econometric posts, here and there, during the past two days, about Kenneth Rogoff and Carmen Reinhart’s paper. All those posts were very informative, about economics and politics, econometrics and datasets, and (publicly) admitting mistakes, the initial paper by Kenneth Rogoff and Carmen Reinhart (published in the AER) http://nber.org/papers/… the answer by Thomas Herndon,...
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