Somewhere else, part 128

April 18, 2014
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lego-sax Some writings worth reading “Four more reasons to be skeptical of open-access publishing” http://sciencedirect.com/scien… too bad there is a paywall, I can’t read it ! (mentioned in “Be sensible about open access, but it’s still a good thing!” http://katatrepsis.com/2014/04/15/be…) “Give us back our statistical data” http://washingtonpost.com/opinions/robert-samuelson… “10 Reasons You Will Read This Medium Post”...
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Copula Density Estimation

April 18, 2014
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Selection_999(109) The joint paper, written with Gery Geenens and Davy Paindaveine, entitled “Probit transformation for nonparametric kernel estimation of the copula density” is now online on http://arxiv.org/abs/1404.4414 “Copula modelling has become ubiquitous in modern statistics. Here, the problem of nonparametrically estimating a copula density is addressed. Arguably the most popular nonparametric density estimator, the kernel estimator is not suitable for...
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Les Arbres de Classification

April 17, 2014
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artworks-000039229481-c404rf-original J’animerai une formation lundi 28 de 14:00 à 16:00 au local N-6320 de l’UQAM sur le thème introduction aux arbres de classification. Cette formation est organisée dans le cadre des séminaires en méthodes d’analyses quantitatives et qualitatives qui se tiennent régulièrement depuis un peu plus d’un mois. animé par le collectif pour le développement et les applications...
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How Fast the Fastest Human Would Run 100m?

April 16, 2014
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Selection_999(116) 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). In 2009, John Einmahl and Sander...
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Somewhere else, part 127

April 16, 2014
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conquistador-lego0-9270FD Some writings worth reading “Kapital for the Twenty-First Century?” http://dissentmagazine.org/kapital-for… (extremely interesting review) “Out in the Open: Inside the Operating System Edward Snowden Used to Evade the NSA” http://wired.com/2014/04/tails  (see also http://theguardian.com/world/2013…) “Why UPS Trucks Don’t Turn Left” http://priceonomics.com/why-ups … “Overworked America: 12 Charts That Will Make Your Blood Boil” http://motherjones.com/politics/2… via @tomkeene see...
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Lectures, #MyTopTenBooks

April 13, 2014
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stack-of-books-001 Histoire de poursuivre sur la lancée de plusieurs autres bloggers (je pense à Martin Grandjean qui m’a fait découvrir l’initiative) et plusieurs utilisateur de Twitter, j’ai eu envie de participer à la discussion autour du hashtag #MyTopTenBooks. A la vue de plusieurs photos qui montraient des livres qui m’avaient plu, j’ai eu envie d’en découvrir plusieurs....
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Somewhere else, part 126

April 12, 2014
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lego-police Some writings worth reading “Insurance as a Study” http://query.nytimes.com/… “Something of the Men Who Figure Business by Algebra” “1-in-a-Trillion Coincidence, You Say? Not Really, Experts Find” http://nytimes.com/1990/02/… no comment (via @ClaradeBort) “Here’s why it took 2 years for anyone to notice the Heartbleed bug” http://vox.com/2014/4/12… Global Warming Factsheet http://earthobservatory.nasa.gov/… “Interpreting noise” http://robjhyndman.com/hyndsight/ … by...
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Somewhere else, part 125

April 9, 2014
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clown-lego Some writings worth reading, “Global Warming Scare Tactics” http://ytimes.com/2014/04/09/opinion/ … (Some) “agencies withhold grant money from researchers who do not make publications openly available” http://nature.com/news/funders… (sometimes, I have the feeling that it works also for “Professors vs. Students”) MT @yochum “Programmers vs. Users” “Let’s stop talking about HFT for a little while” http://mathbabe.org/2014/04/09/lets… (or...
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Elections Sans Bipartisme

April 8, 2014
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Selection_999(079) Hier, sur Twitter, @JF_Godbout partageait un joli graphique relatif aux élections québécoises, avec les nombres de votes obtenus (ici en pourcentage des votes totaux) et le pourcentage de sièges que cela donne, Il faut dire qu’hier, c’était jour d’élection. Ce sont des élections à un tour, avec plusieurs partis (disons 4 grands partis si on se...
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Actuariat, le rêve américain

April 7, 2014
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Capture d’écran 2014-03-21 à 09.14.27 Ce billet (sous une forme proche) devrait proposé sous forme d’article dans les semaines à venir pour publication dans Variances, le journal des anciens ENSAE. En attendant, les commentaires sont ouverts, et je serais ravi d’accueillir des points de vue ! L’actuariat et les actuaires Dans un ‘conte Persan‘ inventé par Claude Bébéar, l’actuariat...
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Computational Actuarial Science

April 6, 2014
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type-CASinR Last week, we’ve been through the book, completely, one last time, before sending it back to the publisher, with some comments and remarks, before publication ! So, this is it, the book will finally appear soon ! It was schedule for this week actually, but… you know. It should appear sometime by the end...
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Stationarity of ARCH processes

April 6, 2014
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Selection_999(067) 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 process will cross...
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Somewehere else, part 124

April 5, 2014
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lego-flic Some writings worth reading, “Many restless young men have temperaments that make them totally unsuited for work” http://nytimes.com/2014/04/06/business/… by @tylercowen ht @Noahpinion “Many of the new jobs today are in health care and education, where specialized training and study are required. Across the economy, a college degree is often demanded where a high school...
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Inference for ARCH processes

April 2, 2014
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10047-1 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=w+a1*epsilon^2+a2*epsilon^2 + epsilon=eta*sqrt(sigma2) + } > par(mfrow=c(1,1)) > plot(epsilon,type="l",ylim=c(min(epsilon)-.5,max(epsilon))) > lines(min(epsilon)-1+sqrt(sigma2),col="red") (the red line is the conditional variance...
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Modeling the Marginals and the Dependence separately

April 1, 2014
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copula-density-proj_m 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 generate a...
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Great Stats on Elsevier’s Website

April 1, 2014
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poisson-avril A lot of researchers have been recently extremely unfair, criticizing Elsevier one major editor of academic journals. Yes, it is a big publisher. So what? When you publish a paper in any journal that belongs to that group, you now have access to amazing statistics, via scopus. Not only you know how many time the...
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Correlation with constraints on pairs

March 31, 2014
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gears-engrenage5 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 correlations between three exchange rates, on financial markets). More...
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Retour sur les enjeux du Pôle Nord

March 31, 2014
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les-glacons-300x300 Avec presque deux semaines de retard, je voulais revenir avec deux images sur la discussion qui avait eu lieu lors de la conférence “à qui appartient le pôle nord”. En effet, Philippe Reka (a.k.a. @visionscarto) a présenté deux cartes qui m’ont fait longuement réfléchir sur les pays qui pourraient s’intéresser au Pôle Nord (plus que...
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Somewhere else, part 123

March 31, 2014
By
legoooo Some writings, worth reading, “Why do we take physicists seriously?” http://magic-maths-money.blogspot.co.uk/2014/03… by @TCJUK “Quantify Everything: A Dream of a Feminist Data Future” http://modelviewculture.com/pieces/quantify… “Are Simple Momentum Strategies Too Dumb? Introducing Probabilistic Momentum” http://cssanalytics.wordpress.com/2014/01… see also http://systematicinvestor.wordpress.com/2014/02/… via@randal_olson “A simple but elegant method to detect election fraud’ http://pnas.org/content/1210722109 … see “What’s Up With Big Data...
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Independence and correlation

March 29, 2014
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k12045110 A short post to get back on a property I gave briefly in the MAT8595 class in January, and again in the MAT8181 class this week (to illustrate the distinction between weak and strong white noises). Recall that (real-valued) random variables  and  are independent if for all , Another characterization, for integrable variable is...
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Seasonal Unit Roots

March 26, 2014
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thermometre frigo congelateur As discussed in the MAT8181 course, there are – at least – two kinds of non-stationary time series: those with a trend, and those with a unit-root (they will be called integrated). Unit root tests cannot be used to assess whether a time series is stationary, or not. They can only detect integrated time...
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Somewhere else, part 122

March 26, 2014
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explor-lego Some writings worth reading “Academics giving free lectures in bars” http://theguardian.com/higher-education-network/2014/mar/… sounds like fun, I will ask also my students to go to class with a beer “What big data can tell us about the relationships between world leaders” http://washingtonpost.com/blogs/worldviews/… e.g. “Implied Stories (and Data Vis)” http://blogger.ghostweather.com/2014/… “Money creation in the modern economy” http://bankofengland.co.uk/publications/…...
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Linear ‘Prediction’ for AR Time Series

March 25, 2014
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bang In the exercises for the MAT8181 course, there are two Exercises (16 and 17) about prediction and extrapolation based on MA(1) and AR(1) time series. But before discussing those exercises (I had some request for hints), I wanted to recall the definition of the linear prediction, where As discussed previously on this blog, we...
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Somewhere else, part 121

March 24, 2014
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stoveenamel Some writings worth reading “Physicists, Generals And CEOs Agree: Ditch The PowerPoint” http://npr.org/blogs/alltechconsidered/… “Using journal rank as an assessment tool- we probably shouldn’t do it” http://nicebrain.wordpress.com/2014/03/21/… (about http://journal.frontiersin.org/…) “Scholarly publishers and their high profits” http://alexholcombe.wordpress.com/2013/01/09/s … Good to know http://askthepast.blogspot.ca/2014 … “How to Walk With Ladies, 1891″ “How Higher Education Ought to Be” http://towardfreedom.com/35-archives/…...
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Seasonal, or periodic, time series

March 20, 2014
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Time-timer Monday, in our MAT8181 class, we’ve discussed seasonal unit roots from a practical perspective (the theory will be briefly mentioned in a few weeks, once we’ve seen multivariate models). Consider some time series , for instance traffic on French roads, > autoroute=read.table( + "http://freakonometrics.blog.free.fr/public/data/autoroute.csv", + header=TRUE,sep=";") > X=autoroute$a100 > T=1:length(X) > plot(T,X,type="l",xlim=c(0,120)) > reg=lm(X~T) >...
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