R function for extracting F-test P-value from linear model object
I thought it would be trivial to extract the p-value on the F-test of a linear regression model (testing the null hypothesis R²=0). If I fit the linear model: fit [Read more...]
statistics
From one extreme (0) to another (1): challenge failed, but who cares…
Just after arriving in Montréal, at the beginning of September, I
discussed statistics of my blog, and said that it might be possible - or
likely - that by new year's Eve, over a million page would have been
viewed on my blog (from Google's count...
Arrogance sampling
A new posting on arXiv by Benedict Escoto on a simulation method for approximating normalising constants (i.e. evidence) with an eye-catching name! Here is the abstract This paper describes a method for estimating the marginal likelihood or Bayes factors of Bayesian models using non-parametric importance sampling (“arrogance sampling”). This ... [Read more...]
a survey on ABC
With Jean-Michel Marin, Pierre Pudlo and Robin Ryder, we just completed a survey on the ABC methodology. It is now both arXived and submitted to Statistics and Computing. Rather interestingly, our first draft was written in Jean-Michel’s office in Montpelier by collating the ‘Og posts surveying new ABC papers! (...
Short review of the R book
David Scott wrote a review of Introducing Monte Carlo Methods with R in the International Statistical Review that is rather negative, since the main bulk reads as follows: I found some aspects of the book very disappointing. The first chapter (“Basic R Programming”) has some unfortunate mistakes and some statements, ...
Adap’skiii [day 2]
Another exciting day at Adap’skiii!!! Yves Atchadé presented a very recent work on the fundamental issue of estimating the asymptotic variance estimation for adaptive MCMC algorithms, with an intriguing experimental observation that a non-converging bandwidth with rate 1/n was providing better coverage than the converging rate. (I always found ...
Le Monde puzzle [52|solution]
I have now received the first issue of Le Monde magazine, including the solution to puzzle #52 I solved just in time by simulated annealing! The trick is in using the following theorem: Iter(1,x,y) is divisible by 10x-1 if and only if y is divisible by 10x-1. Then the ... [Read more...]
History makes Stat. Science!
While the above heading sounds like a title in reverse, its words are in the “correct” order in that our paper with George Casella, A Short History of Markov Chain Monte Carlo, has been accepted for publication by Statistical Science. This publication may sound weird when considering that the paper ... [Read more...]
The R Journal, Vol.2 Issue 2 is out
The second issue of the second volume of The R Journal is now available . Download complete issue Refereed articles may be downloaded individually using the links below. [Bibliography of refereed articles] Table of Contents Editorial 3 Contributed Research Articles Solving Differential Equations in R Karline Soetaert, Thomas Petzoldt and R. Woodrow ... [Read more...]
Le Monde puzzle [52]
The last puzzle of the year in Le Monde reads as follows (as far as I understand its wording!): Iter(n,x,y) is the function Iter=function(n,x,y){ if (n==1){ output=trunc(y/10)+x*(y%%10) }else{ output=Iter(n-1,x,Iter(1,x,y))} return output } Find the ... [Read more...]
Blog year 2010 in review
The blog year started in August and consists of 30-something posts. Here is a summary. Quant concepts backtesting: Backtesting — almost wordless cointegration: American TV does cointegration efficient frontier: Anomalies meet volatility implied alpha: Implied alpha — almost wordless portfolio theory: Ancient portfolio theory random walk: The tightrope of the random walk ...
More typos in Chapter 5
Following Ashley’s latest comments on Chapter 5 of Introducing Monte Carlo Methods with R, I realised Example 5.5 was totally off-the-mark! Not only the representation of the likelihood should have used prod instead of mean, not only the constant should call the val argument of integrate, not only integrate uses lower ...
Book Review: A Beginner’s Guide to R
A review of Zuur et al.'s "A Beginner's Guid to R". This book quickly and efficiently introduces you to the peculiarities of the R programming language so that you can soon move on to what you actually want to use R for. [Read more...]
Book Review: R in a Nutshell
A brief review of R in a Nutshell by Joseph Adler. This book continues to serve as a useful reference that sits on my desk next to my computer, waiting to tell me the name of that command I've just forgotten. [Read more...]
nlm [unused argument(s) (iter = 1)]
Ashley put the following comment on Chapter 5 of Introducing Monte Carlo Methods with R”: I am reading chapter 5. I try to reproduced the result on page 128. The R codes don’t work on my laptop. When I try to run the following codes on page 128 __ for (i in 1:(nlm(like,... [Read more...]
Poster at MCMSki III
Here is the poster presented at MCMSki III next week by Pierre Jacob about our joint paper on parallelisation:
Filed under: R, Statistics, Travel Tagged: Adapski, MCMC, MCMSki, Metropolis-Hastings, Monte Carlo Statistical Methods, parallelisation, pos... [Read more...]
Autocorrelation Matrix in R
I have been simulating a lot of data lately with various covariance (correlation) structures, and one that I have been using is the autocorrelation (or autoregressive) structure, where there is a “lag” between variables. The matrix is a v-dimension matrix of the form $$\begin{bmatrix} 1 & \rho & \rho^2 & \dots & \rho^{v-1}\\ \... [Read more...]
Citizen Data Journalism: Mexico Homicides
I've recently praised some mainstream media outlets like the New York Times and New Scientist for leading the charge on data journalism. But you don't need to be a large organization to find news in data. With open data sources, and open-source data analysis tools, individuals can make newsworthy discoveries. ... [Read more...]
Questions on the parallel Rao-Blackwellisation
Pierre Jacob and I got this email from a student about our parallel Rao-Blackwellisation paper. Here are some parts of the questions and our answer: Although I understand how the strategy proposed in the paper helps in variance reduction, I do not understand why you set b=1 (mentioned in Section 3.2) ... [Read more...]
Back from Philly
The conference in honour of Larry Brown was quite exciting, with lots of old friends gathered in Philadelphia and lots of great talks either recollecting major works of Larry and coauthors or presenting fairly interesting new works. Unsurprisingly, a large chunk of the talks was about admissibility and minimaxity, with ...
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