Category Archives: multivariate statistics

Series, symmetrized Normalized Compressed Divergences and their logit transforms

Posted on 3 January 2019 by

(Major update on 11th January 2019. Minor update on 16th January 2019.) On comparing things The idea of a calculating a distance between series for various purposes has received scholarly attention for quite some time. The most common application is … Continue reading →

Posted in Akaike Information Criterion, bridge to somewhere, computation, content-free inference, data science, descriptive statistics, divergence measures, engineering, George Sughihara, information theoretic statistics, likelihood-free, machine learning, mathematics, model comparison, model-free forecasting, multivariate statistics, non-mechanistic modeling, non-parametric statistics, numerical algorithms, statistics, theoretical physics, thermodynamics, time series | 4 Comments

The Johnson-Lindenstrauss Lemma, and the paradoxical power of random linear operators. Part 1.

Posted on 20 November 2018 by

Updated, 2018-12-04 I’ll be discussing the ramifications of: William B. Johnson and Joram Lindenstrauss, “Extensions of Lipschitz mappings into a Hilbert space, Contemporary Mathematics, 26:189–206, 1984. for several posts here. Some introduction and links to proofs and explications will be … Continue reading →

Posted in clustering, data science, dimension reduction, information theoretic statistics, Johnson-Lindenstrauss Lemma, k-NN, Locality Sensitive Hashing, mathematics, maths, multivariate statistics, non-parametric model, numerical algorithms, numerical linear algebra, point pattern analysis, random projections, recommender systems, science, stochastic algorithms, stochastics, subspace projection methods | 1 Comment

Sampling: Rejection, Reservoir, and Slice

Posted on 29 September 2018 by

An article by Suilou Huang for catatrophe modeler AIR-WorldWide of Boston about rejection sampling in CAT modeling got me thinking about pulling together some notes about sampling algorithms of various kinds. There are, of course, books written about this subject, … Continue reading →

Posted in accept-reject methods, American Statistical Association, Bayesian computational methods, catastrophe modeling, data science, diffusion processes, empirical likelihood, Gibbs Sampling, insurance, Markov Chain Monte Carlo, mathematics, Mathematics and Climate Research Network, maths, Monte Carlo Statistical Methods, multivariate statistics, numerical algorithms, numerical analysis, numerical software, numerics, percolation theory, Python 3 programming language, R statistical programming language, Radford Neal, sampling, slice sampling, spatial statistics, statistics, stochastic algorithms, stochastic search | Leave a comment

A quick note on modeling operational risk from count data

Posted on 11 September 2018 by

The blog statcompute recently featured a proposal encouraging the use of ordinal models for difficult risk regressions involving count data. This is actually a second installment of a two-part post on this problem, the first dealing with flexibility in count … Continue reading →

Posted in American Statistical Association, Bayesian, Bayesian computational methods, count data regression, dichotomising continuous variables, dynamic generalized linear models, Frank Harrell, Frequentist, Generalize Additive Models, generalized linear mixed models, generalized linear models, GLMMs, GLMs, John Kruschke, maximum likelihood, model comparison, Monte Carlo Statistical Methods, multivariate statistics, nonlinear, numerical software, numerics, premature categorization, probit regression, statistical regression, statistics | Tagged , , , | Leave a comment

`Evidence of a decline in electricity use by U.S. households’ (Prof Lucas Davis, U.C. Berkeley)

Posted on 8 May 2017 by

This is from a blog post by Professor Lucas Davis at his blog. In addition to the subject, that’s an interesting way of presenting a change over time I’ll need to think about: It seems the model could be used … Continue reading →

Posted in American Solar Energy Society, American Statistical Association, anomaly detection, Bloomberg New Energy Finance, BNEF, bridge to somewhere, convergent cross-mapping, decentralized electric power generation, decentralized energy, demand-side solutions, dependent data, efficiency, EIA, electricity, electricity markets, energy, energy reduction, energy utilities, engineering, evidence, green tech, local self reliance, Lucas Davis, marginal energy sources, Massachusetts Clean Energy Center, model-free forecasting, multivariate statistics, public utility commissions, rate of return regulation, statistics, Takens embedding theorem | Leave a comment

“Holy crap – an actual book!”

Posted on 10 August 2016 by

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…

Posted in American Association for the Advancement of Science, Buckminster Fuller, business, citizen science, citizenship, civilization, complex systems, confirmation bias, data science, data streams, deep recurrent neural networks, denial, economics, education, engineering, ethics, evidence, Internet, investing, life purpose, machine learning, mathematical publishing, mathematics, mathematics education, maths, moral leadership, multivariate statistics, numerical software, numerics, obfuscating data, organizational failures, politics, population biology, prediction, prediction markets, privacy, quantitative biology, quantitative ecology, rationality, reason, reasonableness, rhetoric, risk, Schnabel census, smart data, sociology, statistical dependence, statistics, the right to be and act stupid, the right to know, the value of financial assets, transparency, UU Humanists | Leave a comment

Bayesian blocks via PELT in R

Posted on 1 August 2016 by

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 →

Posted in American Statistical Association, AMETSOC, anomaly detection, astrophysics, Cauchy distribution, changepoint detection, engineering, geophysics, multivariate statistics, numerical analysis, numerical software, numerics, oceanography, population biology, population dynamics, Python 3, quantitative biology, quantitative ecology, R, Scargle, spatial statistics, square wave approximation, statistics, stepwise approximation, time series, Woods Hole Oceanographic Institution | 3 Comments

On Smart Data

Posted on 11 June 2016 by

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 →

Posted in Akaike Information Criterion, Bayes, Bayesian, Bayesian inversion, big data, bigmemory package for R, changepoint detection, data science, data streams, dlm package, dynamic generalized linear models, dynamic linear models, dynamical systems, Generalize Additive Models, generalized linear models, information theoretic statistics, Kalman filter, linear algebra, logistic regression, machine learning, Markov Chain Monte Carlo, mathematics, mathematics education, maths, maximum likelihood, MCMC, Monte Carlo Statistical Methods, multivariate statistics, numerical analysis, numerical software, numerics, quantitative biology, quantitative ecology, rationality, reasonableness, sampling, smart data, state-space models, statistical dependence, statistics, the right to know, time series | Leave a comment

HadCRUT4 and GISTEMP series filtered and estimated with simple RTS model

Posted on 18 March 2016 by

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 →

Posted in AMETSOC, anemic data, Bayesian, boosting, bridge to somewhere, cat1, changepoint detection, climate, climate change, climate data, climate disruption, climate models, complex systems, computation, data science, dynamical systems, geophysics, George Sughihara, global warming, hiatus, information theoretic statistics, machine learning, maths, meteorology, MIchael Mann, multivariate statistics, physics, prediction, Principles of Planetary Climate, rationality, reasonableness, regime shifts, sea level rise, time series | 4 Comments

high dimension Metropolis-Hastings algorithms

Posted on 6 February 2016 by

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 →

Posted in Bayes, Bayesian, Bayesian inversion, boosting, chance, Christian Robert, computation, ensembles, Gibbs Sampling, James Spall, Jerome Friedman, Markov Chain Monte Carlo, mathematics, maths, MCMC, Monte Carlo Statistical Methods, multivariate statistics, numerical software, numerics, optimization, reasonableness, Robert Schapire, SPSA, state-space models, statistics, stochastic algorithms, stochastic search, stochastics, Yoav Freund | Leave a comment

Your future: Antarctica, in detail

Posted on 18 August 2015 by

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 →

Posted in Antarctica, Anthropocene, bridge to nowhere, climate, climate change, climate disruption, climate zombies, disingenuity, ecology, ensembles, forecasting, geophysics, global warming, Hyper Anthropocene, ignorance, IPCC, Lawrence Berkeley National Laboratory, LBNL, living shorelines, mathematics, mathematics education, maths, mesh models, meteorology, multivariate statistics, numerical software, optimization, physics, rationality, reasonableness, risk, science, science education, sea level rise, spatial statistics, state-space models, statistics, stochastic algorithms, stochastics, supercomputers, temporal myopia, the right to know, thermodynamics, time series, University of California Berkeley, WAIS | Leave a comment

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

Posted on 29 July 2015 by

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 →

Posted in Bayes, Bayesian, dynamic linear models, dynamical systems, forecasting, Kalman filter, mathematics, maths, multivariate statistics, numerical software, open source scientific software, prediction, R, Rauch-Tung-Striebel, state-space models, statistics, stochastic algorithms, SVD, time series | Leave a comment