# Category Archives: multivariate statistics

## “Holy crap – an actual book!”

Originally posted on mathbabe:

Yo, everyone! The final version of my book now exists, and I have exactly one copy! Here’s my editor, Amanda Cook, holding it yesterday when we met for beers: Here’s my son holding it: He’s offered…

## Bayesian blocks via PELT in R

The Bayesian blocks algorithm of Scargle, Jackson, Norris, and Chiang has an enthusiastic user community in astrostatistics, in data mining, and among some in machine learning. It is a dynamic programming algorithm (see VanderPlas referenced below) and, so, exhibits optimality … Continue reading

## On Smart Data

One of the things I find surprising, if not astonishing, is that in the rush to embrace Big Data, a lot of learning and statistical technique has been left apparently discarded along the way. I’m hardly the first to point … Continue reading

## HadCRUT4 and GISTEMP series filtered and estimated with simple RTS model

Happy Vernal Equinox! This post has been updated today with some of the equations which correspond to the models. An assessment of whether or not there was a meaningful slowdown or “hiatus” in global warming, was recently discussed by Tamino … Continue reading

## high dimension Metropolis-Hastings algorithms

If attempting to simulate from a multivariate standard normal distribution in a large dimension, when starting from the mode of the target, i.e., its mean γ, leaving the mode γis extremely unlikely, given the huge drop between the value of the density at the mode γ and at likely realisations Continue reading

## Your future: Antarctica, in detail

Climate and geophysical accuracy demands fine modeling grids, and very large supercomputers. The best and biggest supercomputers have not been available for climate work, until recently. Watch how results differ if fine meshes and big supercomputers are used. Why haven’t … Continue reading

## Comprehensive and compact tutorial on Petris’ DLM package in R; with an update about Helske’s KFAS

A blogger named Lalas produced on Quantitative Thoughts a very comprehensive and compact tutorial on the R package dlm by Petris. I use dlm a lot. Unfortunately, Lalas does not give details on how the SVD is used. They do … Continue reading