I have to admit, first, that finding Waldo has been a difficult task. And I did not succeed. Neither could I correctly spot his shirt (because actually, it was what I was looking for). You know, that red-and-white striped shirt. I guess it sho... [Read more...]

Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned... [Read more...]

A couple of days ago, on Twitter, @alung mentioned an old post I did publish on this blog about open-data, explaining how difficult it was to get access to data in France (the post, published almost 18 months ago can be found here, in French).... [Read more...]

This Monday, during my talk on quantile regressions (at the Montreal R-meeting), we've seen how those nice graphs could be interpreted, with the evolution of the slope of the linear regression, as a function of the probability level. One illustrati... [Read more...]

This afternoon, I will be giving a two-hour talk at McGill on quantiles, quantile regressions, confidence regions, bagplots and outliers. Before defining (properly) quantile regressions, we will mention regression on (local) quantiles, as on the gr... [Read more...]

Following the two previous posts (here and there), on the number of people that don't get wet while playing with water pistols, consider now an indoor version, in a non-convex room (i.e. player behind wall are now, somehow, protected). In the previ... [Read more...]

Following the previous post, two additional remarks. Following a comment by @cosi, I have investigated quickly a binomial fit to the distribution of the number of people not getting wet, with a fixed number of players on the field. It looks like it... [Read more...]

A few days ago, http://www.futilitycloset.com/ published a short post based on the fourth problem of the 1987 Canadian Mathematical Olympiad (from on a problem from the 6th All Soviet Union Mathematical Competition in Voronezh, 1966). The problem i... [Read more...]

This evening, while I was about to wash the dishes, I heard my elders starting a game (call them Him and Her) Him: "I have picked - in my head - a number, lower than 50. Try to guess..." Her: "No way, too difficult..." Him: "You can try five differ... [Read more...]

Just imagine that your kids need some help, to prepare fishes for April 1st, like Her: "please, Daddy, help us to draw some fishes" Me: "Sure, Daddy is a champion, actually, I do that everyday at work: drawing fishes - and more generally nice stuf... [Read more...]

A couple of weeks ago, I had a discussion with a practitioner, working in some financial company, about ruin, and infinite time. And it remind me a weird result. Well, not a weird result, but a result I found disturbing, at first, when I was a stud... [Read more...]

We are currently experiencing an extremely hot month in Montréal (and more generally in North America). Looking at people having a beer, and starting the first barbecue of the year, I was wondering: if we asked people if global warming was a good ... [Read more...]

Visualization is a key to success in regression analysis. This is one of the (many) reasons I am also suspicious when I read an article with a quantitative (econometric) analysis without any graph. Consider for instance the following dataset, obtai... [Read more...]

First, let us recall a standard result from linear algebra: "real symmetric matrices are diagonalizable by orthogonal matrices". Thus, any variance-covariance matrix can be written since a variance-covariance matrix is also definite positive. In ... [Read more...]

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...]