Author: Arthur Charpentier

Networks with R

In order to practice with network data with R, we have been playing with the Padgett (1994) Florentine’s wedding dataset (discussed in the lecture). The dataset is available from > library ( network ) > data(flo) > nflo plot(nflo, displaylabels = TRUE, + boxed.labels = + FALSE) The next step…

I Got The Feelin’

Last week, I’ve been going through my CD collection, trying to find records I haven’t been listing for a while. And I got the feeling that music I listen to nowadays is slower than the one I was listening to in my 20’s. I was wondering if that was an…

Homo Deus – Saved by the algorithm?

More and more people are asking questions about the future of insurance and about the words “digital”, “big data”, “connected objects”, etc., predicting an upcoming revolution. Many think that the revolution is already well underway and that it is high time to create a little (science) fiction to imagine what...

Matching, Optimal Transport and Statistical Tests

To explain the “optimal transport” problem, we usually start with Gaspard Monge’s “Mémoire sur la théorie des déblais et des remblais“, where the the problem of transporting a given distribution of matter (a pile of sand for instance) into another (an excavation for instance). This problem is usually formulated using…

“Ethics in Quantitative Finance”

Just before going to the workshop on dependencies in finance and insurance, Tim Johnson (also known as @TCJUK on Twitter), researcher at Heriot-Watt University in Edinburgh and blogger on http://magic-maths-money.blogspot, sent me a copy of his manuscript entitled Ethics in Quantitative Finance: a pragmatic theory of markets. While opening the…

Proportion of people alive in 1945 that are still alive

In demography, we like to use life tables to estimate the probability that someone born in 1945 (say) is still alive nowadays.  But another interesting quantity might be the probability that someone alive in 1945 is still alive nowadays. The main difference is that we do not know when that person,…

Visualizing (censored) lifetime distributions

There are now more than 10,000 R packages available from CRAN, much more if you include those available only on github. So, to be honest, it become difficult to know all of them. But sometimes, you discover a nice function in one of them, and that is really awesome. Consider…

The U.S. Has Been At War 222 Out of 239 Years

This morning, I discovered an interesting statistic, America Has Been At War 93% of the Time – 222 Out of 239 Years – Since 1776,  i.e. the U.S. has only been at peace for less than 20 years total since its birth. I wanted to check, get a better understanding and…

Reading text automatically

It is now very easy to read (automatically) some text that can be found in a pdf file. For instance, consider the program of the conference we had yesterday – and today – in Rennes > library(pdftools) > scan_pdf <- pdf_text("http://crem.univ-rennes1.fr/Documents/Docs_sem_divers/2017_03_10-11_JJD/JDD_prog.pdf") > cat(scan_pdf) Journées Jeunes Docteurs Programme du jeudi 9…

Regression on factors

Most of our intuitions about regression models come from the Gaussian standard linear model. One interesting feature is that, when we have a factor explanatory variable, the sum of predictions per class is the sum of observations of the endogeneous variable, per class. To be more specific, consider some factor…

Unbiased Estimators vs. Minimizing a Quadratic Loss Function

Unbiased estimators are important in statistics. I guess because of Cramér Rao bound, for the variance. In the sense that if  , then  , where   denotes Fisher information (the proof was writen in an old post). But what could we be the variance if   is not unbiased ?…

Re-parametrization and Maximum Likelihood

The maximum likelihood estimator is invariant in the sense that for all bijective function  , if   is the maximum likelihood estimator of   then  . Let  , then   is equal to  , and the likelihood function in   is  . And since   is the maximum likelihood estimator…

Monthly Review

A few years back, I had a somewhere else chronicle on this blog, that was (almost) a daily review of interesting things I found on the internet. I did stop since it was simply a duplicate of links that I post on twitter. Nevertheless, people keep asking me to run it…

Picking an asset to invest

Yesterday, Andrew Lo spent some time on a nice graph, discussing attitudes towards risk. Here are four assets (thanks @TCJUK for improving the terminology), real data (no information here about time, but it’s the same scale for the four of them) The question raised was quite simple if you could invest in…

Econometrics and Machine Learning

I will be in London, UK, at the Centre for Central Banking Studies, invited as a keynote speaker for a major conference. For my talk, on Econometric Models and Statistical Learning Techniques, the agenda is the follownig introduction on High Dimensional Data and Modeling foundations of econometric models, and probabilistic aspects machine learning…

Non-Uniform Population Density in some European Countries

A few months ago, I did mention that France was a country with strong inequalities, especially when you look at higher education, and research teams. Paris has almost 50% of the CNRS researchers, while only 3% of the population lives there. CNRS, "répartition des chercheurs en SHS" https://t.co/39dcJJBwrF, Paris 47.52% IdF…