# Category Archives: numerics

## Reanalysis of business visits from deployments of a mobile phone app

Updated, 20th October 2020 This reports a reanalysis of data from the deployment of a mobile phone app, as reported in: M. Yauck, L.-P. Rivest, G. Rothman, “Capture-recapture methods for data on the activation of applications on mobile phones“, Journal … Continue reading

## Numbers, feelings, and imagination

“But numbers don’t make noises. They don’t have colours. You can’t taste them or touch them. They don’t smell of anything. They don’t have feelings. They don’t make you feel. And they make for pretty boring stories.” That’s from here, … Continue reading

## Sampling: Rejection, Reservoir, and Slice

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

## A quick note on modeling operational risk from count data

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

## Fast means, fast moments (originally devised 1984)

(Updated 4th December 2018.) There are many devices available for making numerical calculations fast. Modern datasets and computational problems apply stylized architectures, and use approaches to problems including special algorithms for just calculating dominant eigenvectors or using non-classical statistical mechanisms … Continue reading

## When linear systems can’t be solved by linear means

Linear systems of equations and their solution form the cornerstone of much Engineering and Science. Linear algebra is a paragon of Mathematics in the sense that its theory is what mathematicians try to emulate when they develop theory for many … Continue reading

## “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

## “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

## 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

## 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

## 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

## 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