Last year, in a post, I discussed how to merge levels of factor variables, using combinatorial techniques (it was for my STT5100 cours, and trees are not in the syllabus), with an extension on trees at the end of the post. consider the following (simulated dataset) n=200 set.seed(1) x1=...

Last week, in our STT5100 (applied linear models) class, I’ve introduce the hat matrix, and the notion of leverage. In a classical regression model, (in a matrix form), the ordinary least square estimator of parameter is The prediction can then be writtenwhere is called the hat matrix. The matrix ...

At the Summer School of the Swiss Association of Actuaries, in Lausanne, I will start talking about networks and insurance this Friday. Slides are available online

At the Summer School of the Swiss Association of Actuaries, in Lausanne, I will start talking about text based data and NLP this Thursday. Slides are available online Ewen Gallic (AMSE) will present a tutorial on tweets. I can upload a few additiona...

At the Summer School of the Swiss Association of Actuaries, in Lausanne, following the part of Jean-Philippe Boucher (UQAM) on telematic data, I will start talking about pictures this Wednesday. Slides are available online Ewen Gallic (AMSE) will present a tutorial on satellite pictures, and a simple classification problem, related ...

Next week, with , I will be at the Summer School of the Swiss Association of Actuaries, in Lausanne, with Jean-Philippe Boucher (UQAM) and Ewen Gallic (AMSE). There will be some hands-on applications, on R. I will share some codes in the slides.

With Alfred Galichon and Lucas Vernet, we recently uploaded a paper entitled optimal transport on large networks on arxiv. This article presents a set of tools for the modeling of a spatial allocation problem in a large geographic market and gives examples of applications. In our settings, the market is ...

Next week, I will be in Manizales, Colombia, for the Third International Congress on Actuarial Science and Quantitative Finance. I will be giving a lecture on Wednesday with Jed Fress and Emilianos Valdez. I will give my course on Algorithms for Predictive Modeling on Thursday morning (after Jed and Emil’...

Before moving to cross-validation, it was natural to say “I will burn 50% (say) of my data to train a model, and then use the remaining to fit the model”. For instance, we can use training data for variable selection (e.g. using some stepwise procedure in a logistic regression), and ...

Last Friday, we discussed the use of ROC curves to describe the goodness of a classifier. I did say that I will post a brief paragraph on the interpretation of the diagonal. If you look around some say that it describes the “strategy of randomly guessing a class“, that it ...

Each time we have a case study in my actuarial courses (with real data), students are surprised to have hard time getting a “good” model, and they are always surprised to have a low AUC, when trying to model the probability to claim a loss, to die, to fraud, etc. ...

For my lectures on applied linear models, I wanted to illustrate the fact that the is never a good measure of the goodness of the model, since it’s quite easy to improve it. Consider the following dataset n=100 df=data.frame(matrix(rnorm(n*n),n,n)) names(df)=...

In a previous post, I discussed how it was possible to scrap the NSERC website to get stats about discovery grants. Since we just got the new 2018 figures, I thought it would be a good opportunity to update my graphs, library(XML) library(stringr) url="http://www.nserc-crsng.gc.ca/...

Real-time computation (or estimation) of the “probability to win” is difficult. We’ve seem that in soccer games, in elections… but actually, as a professor, I see that frequently when I grade my students. Consider a classical multiple choice exam. After each question, imagine that you try to compute the ...

Some pre-Halloween post today. It started actually while I was in Barcelona : kids wanted to go back to some store we’ve seen the first day, in the gothic part, and I could not remember where it was. And I said to myself that would be quite long to do ...

In 2012, Danielle Herbert, Adrian Barnett, Philip Clarke and Nicholas Graves published an article entitled “on the time spent preparing grant proposals: an observational study of Australian researchers“, whose conclusions had been included in Nature under a more explicit title, “Australia’s grant system wastes time” ! In this study, they included 3700 ...

Each time we face real applications in an applied econometrics course, we have to deal with categorial variables. And the same question arise, from students : how can we combine automatically factor levels ? Is there a simple R function ? I did upload a few blog posts, over the pas years. But ...

This morning during the lecture on nonlinear regression, I mentioned (very) briefly the case of convex regression. Since I forgot to mention the codes in R, I will publish them here. Assume that where is some convex function. Then is convex if and only if , , Hidreth (1954) proved that ifthen is ...