A standard idea in extreme value theory (see e.g. here, in French unfortunately) is that to estimate the 99.5% quantile (say), we just need to estimate a quantile of level 95% for observations exceeding the 90% quantile. In extreme value theory,... [Read more...]

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In my previous post I showed you how to randomly split up a dataset into training and testing datasets. (Thanks to all those who emailed me or left comments letting me know that this could be done using other means. As things go with R, it's sometimes ... [Read more...]

Exercise 3 is about multivariate linear regression. First part is about finding a good learning rate (alpha) and 2nd part is about implementing linear regression using normal equations instead of the gradient descent algorithm. Data As usual hosted in google docs: mydata = read.csv("http://spreadsheets.google.com/pub?key=0AnypY27... [Read more...]

A casualty of cut-and-paste in Chapter 3 of Introducing Monte Carlo Methods with R. Brad McNeney from Simon Fraser sent me a nice email about the end of Example 3.6 missing a marginal estimate. Indeed, it does. And it should have been obvious from the “estimates” we derived, 19 and 16, which are not ... [Read more...]

The kind people at Packt Publishing recently asked me to review one of their newest R books: the R Graphs Cookbook. In general, I think pretty highly of the book: it provides a nice overview of the basic tools for visualizing data in R. If you’re just getting started ... [Read more...]

I’ll admit it. There’s one thing that always makes me sad working on a mac. R. How does R make me sad on a mac? I look over at my compatriots in Windows using fun Integrated Development Environments (IDEs) like Tinn-R, and I sigh. On the other hand, ... [Read more...]

__ printSudoku(z) +-------+-------+-------+ |   9   |       | 7   5 | |     6 |       |   9   | | 4 5 3 | 1 7   | 2 8   | +-------+-------+-------+ |     5 |     7 |   6   | | 1   9 | 6 8   |       | |   8   |   3   |     1 | +-------+-------+-------+ | 7   2 | [...] [Read more...]

Integrated development environments (IDEs) are software development tools, providing an interface that enables you to write, debug, run and view the output of your code. Whether you need an IDE or find them useful depends very much on your own preferences and style of working. In my own case for ... [Read more...]

On Saturday, the Wall St. Journal posted details of an internal Groupon memo that reported $760 million in revenue last year. The WSJ article came just as I was finishing up a visualization of some data I had collected on … Continue reading → [Read more...]

Recently I was asked by O’Reilly publishing to give a book review for Paul Teetor new introductory book to R.  After giving the book some attention and appreciating it’s delivery of the material, I was happy to write and post this review.  Also, I’m very happy to ... [Read more...]

Andrew Ng has posted introductory machine learning lessons on the OpenClassRoom site. I've watched the first set and will here solve Exercise 2. The exercise is to build a linear regression implementation, I'll use R. The point of linear regression is to come up with a mathematical function(model) that represents ... [Read more...]

Statistics and Computing has received several papers on ABC and plans to make a special ABC issue out of these. All submissions prior to June 2011 that will be accepted will be published in this special issue. The special issue is identified as an article type on the on-line page. In ... [Read more...]

On Friday, a 2008 paper on Stochastic Approximation and Newton’s Estimate of a Mixing Distribution by Ryan Martin and J.K. Ghosh was posted on arXiv. (I do not really see why it took so long to post on arXiv a 2008 Statistical Science paper but given that it is not ... [Read more...]

When I have a question I usually ask the internet before bugging my neighbor. Yet it seems like Google's search results have become increasingly irrelevant over the last few years, and this is especially true for searching anything related to R (and pr... [Read more...]

Three of Marvel’s longest running comic book series’ are Thor, Uncanny X-Men, and Fantastic Four. Using data from 2010, I compare monthly comic book sales for each series. This data only pertains to monthly issues and not trade paperbacks. Furthermore, the series Amazing Spider Man was not considered because it ... [Read more...]

Friday in the course of statistics, we started the section on confidence interval, and like always, I got a bit confused with the degrees of freedom of the Student (should it be or ?) and which empirical variance (should we consider the one wher... [Read more...]

Here is an email sent by one of my students a few days ago: Do you know how to integrate a function with an  “if”? For instance: __X=rnorm(100) __Femp=function(x){ +   return(sum(Xintegrate(Femp,0,1)$value does not work. My reply was that the fundamental reason it does not ... [Read more...]

This year useR! conference will take place in Warwick, on August 16-18.  It is being organised by the department of Statistics and funded by CRiSM and Revolution Analytics (providers of the R tee-shirt!). I wish I could attend but mid-August is usually associated with genuine (post-JSM) family vacations. Filed under: ... [Read more...]

François Perron is visiting me for two months from Montréal and, following a discussion about the parallel implementation of MCMC algorithms—to which he also contributed with Yves Atchadé in 2005—, he remarked that a deterministic choice of permutations with the maximal contrast should do better than random or ... [Read more...]