I’m writing a series of posts on various function options of the glmnet function (from the package of the same name), hoping to give more detail and insight beyond R’s documentation. In this post, instead of looking at one of … Continue reading →

I learnt from a recent post on John Cook’s excellent blog that it’s really easy to do extended floating point computations in R using the Rmpfr package. Rmpfr is R’s wrapper around the C library MPFR, which stands for “Multiple … Continue reading →

I’m writing a series of posts on various function options of the glmnet function (from the package of the same name), hoping to give more detail and insight beyond R’s documentation. In this post, we will look at the type.gaussian … Continue reading →

I’m proud to announce that my latest research project, reluctant generalized additive modeling (RGAM), is complete (for now)! In this post, I give a brief overview of the method: what it is trying to do and how you can fit … Continue reading →

Assume that we are in the time series data setting, where we have data at equally-spaced times which we denote by random variables . The AR(1) model, commonly used in econometrics, assumes that the correlation between and is , where is … Continue reading →

Imagine that one has a data matrix consisting of observations, each with features, as well as a response vector . We want to build a model for using the feature columns in . In ordinary least squares (OLS), one seeks … Continue reading →

I’ve been working on a project/package that closely mirrors that of GAMSEL (generalized additive model selection), a method for fitting sparse generalized additive models (GAMs). In preparing my package, I realized that (i) the gamsel package which implements GAMSEL doesn’t have … Continue reading →

When plotting an lm object in R, one typically sees a 2 by 2 panel of diagnostic plots, much like the one below: This link has an excellent explanation of each of these 4 plots, and I highly recommend giving … Continue reading →

To plot multiple figures on a single canvas in base R, we can change the graphical parameter mfrow. For instance, the code below tells R that subsequent figures will by drawn in a 2-by-3 array: If we then run this … Continue reading →

When using R markdown in RStudio, I like to insert a new chunk using the shortcut Cmd+Option+I. Unfortunately I often press a key instead of “I” and end up folding all the chunks, getting something like this: It often takes … Continue reading →

Visualizing the relationship between multiple variables can get messy very quickly. This post is about how the ggpairs() function in the GGally package does this task, as well as my own method for visualizing pairwise relationships when all the variables … Continue reading →

I was recently working on a supervised learning problem (i.e. building a model using some features to predict some response variable) with a fairly large dataset. I used base R’s plot and hist functions for exploratory data analysis and all … Continue reading →

I recently learned how to use the choroplethr package through a short tutorial by the package author Ari Lamstein (youtube link here). To cement what I learned, I thought I would use this package to visualize flood insurance claims. I … Continue reading →

Gaussian processes are a widely employed statistical tool because of their flexibility and computational tractability. (For instance, one recent area where Gaussian processes are used is in machine learning for hyperparameter optimization.) A stochastic process is a Gaussian process if … Continue reading →

In this previous post, I explored the probability that a team wins a best-of-n series, given that its win probability for any one game is some constant . As one commenter pointed out, most sports models consider the home team … Continue reading →

The NBA playoffs are in full swing! A total of 16 teams are competing in a playoff-format competition, with the winner of each best-of-7 series moving on to the next round. In each matchup, two teams play 7 basketball games … Continue reading →