Category Archives: numerics

“All models are wrong. Some models are useful.” — George Box

(Image courtesy of the Damien Garcia.) As a statistician and quant, I’ve thought hard about that oft-cited Boxism. I’m not sure I agree. It’s not that there is such a thing as a perfect model, or correct model, whatever in … Continue reading

Posted in abstraction, American Association for the Advancement of Science, astronomy, astrophysics, mathematics, model-free forecasting, numerics, perceptions, physical materialism, physics, rationality, reason, reasonableness, science, spatial statistics, splines, statistics, the right to know, theoretical physics, time series | Leave a comment

“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…

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

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 | Leave a comment

data.table

R provides a helpful data structure called the “data frame” that gives the user an intuitive way to organize, view, and access data.  Many of the functions that you would us… Source: Intro to The data.table Package

Posted in big data, data science, engineering, numerical analysis, numerical software, numerics, open source scientific software, R, smart data, statistics | Leave a comment

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

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

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

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

R and “big data”

On 2nd November 2015, Wes McKinney, the developer of the highly useful Python pandas module (and other things, including books), wrote an amusing blog post, “The problem with the data science language wars“. I by no means disagree with him. … Continue reading

Posted in Bayes, Bayesian, big data, bigmemory package for R, Jay Emerson, MCMC, numerics, Python 3, R, Yale University Statistics Department | Leave a comment