Fixed Effects, Random Effects, and First Differencing
I came across a stackoverflow post the other day touching on first differencing and decided to write a quick review of the topic as well as related random effects and...continue reading.
I came across a stackoverflow post the other day touching on first differencing and decided to write a quick review of the topic as well as related random effects and...continue reading.
When testing trading strategies a common approach is to divide the initial data set into in sample data: the part of the data designed to calibrate the model and out of...continue reading.
Analyzing my (and others’) git activity – Click here to explore the data yourself Yesterday I saw this retweet from @timelyportfolio that links to a gist by @gka. The gist...continue reading.
In statistics, various correlation functions, either Spearman or Pearson, have been used to measure the dependence between two data vectors under the linear or monotonic assumption. Mutual Information (MI) is...continue reading.
This is a detailed tutorial on image recognition in R using a deep convolutional neural network provided by the MXNet package. After a short post I wrote some times ago...continue reading.
[This is a guest post by Ned Bicare, PhD] Start the p-hacker app! My dear fellow scientists! “If you torture the data long enough, it will confess.” This aphorism, attributed to...continue reading.
This week, one of my friends asked me a very interesting and practical question in the scorecard development. The model development data were collected from multiple independent sources with various...continue reading.
While developing risk models with hundreds of potential variables, we often run into the situation that risk characteristics or macro-economic indicators are highly correlated, namely multicollinearity. In such cases, we...continue reading.
The recent flare-up in discussions on p-values inspired me to conduct a brief simulation study. In particularly, I wanted to illustrate just how p-values vary with different effect and sample sizes. Here are...continue reading.
Since it appears that SAS and R might give slightly different B-G test results, I spent a couple hours on duplicating the logic of B-G test implemented in SAS Autoreg...continue reading.
(The post below is motivated by my friend Matt Flynn https://www.linkedin.com/in/matthew-flynn-1b443b11) In the context of operational loss forecast models, the standard Poisson regression is the most popular way to model...continue reading.
RStudio addins were released in early 2016 to provide anyone with the ability to add “extensions” to RStudio. This feature has quickly become popular, but discoverability was a problem: there...continue reading.
In SAS/ETS, it is trivial to calculate ACF of a time series with ARIMA procedure. However, the downside is that, in addition to ACF, you will get more outputs than...continue reading.
In my previous post (https://statcompute.wordpress.com/2015/11/01/quasi-binomial-model-in-sas/), I’ve shown why there is an interest in estimating Quasi-Binomial models for financial practitioners and how to estimate with GLIMMIX procedure in SAS. In the...continue reading.
Ljung-Box test is an important diagnostic to check if residuals from the time series model are independently distributed. In SAS / ETS module, it is easy to perform Ljung-Box with...continue reading.
%macro bgtest(data = , r = , x = , order = 1); ********************************************************************; * SAS MACRO PERFORMING BREUSCH-GODFREY TEST FOR SERIAL CORRELATION *; * BY FOLLOWING THE LOGIC OF...continue reading.
tl;dr: Optional stopping does not bias parameter estimates from a frequentist point of view if all studies are reported (i.e., no publication bias exists) and effect sizes are appropriately meta-analytically...continue reading.
I see it more and more frequently: bar plots which are supposed to illustrate the regulation of a gene in terms of “fold change”, which include a “0” on the...continue reading.
Reading Time: 3 minutes I was recently working and decided to write a function to assist in the process. It assigns a label to a number based upon the value....continue reading.
I was recently working and decided to write a function to assist in the process. It assigns a label to a number based upon the value. My first attempt worked,...continue reading.