Author Archive

How Fast the Fastest Human Would Run 100m?

16/04/2014
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Asterix3 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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Posted in Computer, Extreme Value | No Comments »

Somewhere else, part 127

16/04/2014
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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

13/04/2014
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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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Posted in Miscellaneous | No Comments »

Somewhere else, part 126

12/04/2014
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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

09/04/2014
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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

08/04/2014
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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

07/04/2014
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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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Posted in Academe, Actuarial science, Exams | 2 Comments »

Computational Actuarial Science

06/04/2014
By
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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Posted in CAS in R, Computer | No Comments »

Stationarity of ARCH processes

06/04/2014
By
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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Posted in MAT8181, Time Series | No Comments »

Somewehere else, part 124

05/04/2014
By
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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Posted in Blogosphere | 1 Comment »

Inference for ARCH processes

02/04/2014
By
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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Posted in MAT8181, Time Series | 3 Comments »

Modeling the Marginals and the Dependence separately

01/04/2014
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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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Posted in Copulas, Inference, MAT8595 | No Comments »

Great Stats on Elsevier’s Website

01/04/2014
By
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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Posted in Academe | 1 Comment »

Correlation with constraints on pairs

31/03/2014
By
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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Posted in Copulas | 5 Comments »

Retour sur les enjeux du Pôle Nord

31/03/2014
By
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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Posted in Conferences | No Comments »

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