Publications by arthur charpentier
Comparing quantiles for two samples
Recently, for a research paper, I some samples, and I wanted to compare them. Not to compare they means (by construction, all of them were centered) but there dispersion. And not they variance, but more their quantiles. Consider the following boxplot type function, where everything here is quantile related (which is not the case for standard boxp...
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Happy St Patrick’s Day
I love Saint Patrick’s Day for, at least, two reasons. The first one is that, on March 17th, you can play out loud The Pogues, the second one is that it’s the only day in the year when I really enjoy getting a Guiness in a pub. And Guiness is important in statistical science (I did mention a couple of hours ago – on this blog – that bee...
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Rationality, and MS Excel (and other calculators)
This morning, Mathieu had a nice experience in his course on computational method in actuarial science. But let us start with some mathematical formal definitions. First, recall that is – somehow – a standard expression. No one should be surprised to see such an expression. Generally (as explained in http://en.wikipedia.org/… ), this funct...
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Benford law and lognormal distributions
Benford’s law is nowadays extremely popular (see e.g. http://en.wikipedia.org/…). It is usually claimed that, for a given set data set, changing units does not affect the distribution of the first digit. Thus, it should be related to scale invariant distributions. Heuristically, scale (or unit) invariance means that the density of the measure...
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Easter
This morning, there was an interesting post entitled “why does Easter move around so much?” online on http://economist.com/blogs/economist-explains/… In my time series classes, I keep saying that sometimes, series can exhibit seasonlity, but the seasonal effect can be quite irregular. It is the cas for river levels, where snowmelt can hav...
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Reserving with negative increments in triangles
A few months ago, I did published a post on negative values in triangles, and how to deal with them, when using a Poisson regression (the post was published in French). The idea was to use a translation technique: Fit a model not on ‘s but on , for some , Use that model to make predictions, and then translate those predictions, This is what ...
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In three months, I’ll be in Vegas (trying to win against the house)
In fact, I’m going there with my family and some friends, including two probabilists (I mean professionals, I am merely an amateur), with this incredible challenge: will I be able to convince probabilists to go to play at the Casino? Actually, I also want to study them carefully, to understand how we should play optimally. For example, I hope...
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Animation, from R to LaTeX
Just a short post, to share some codes used to generate animated graphs, with R. Assume that we would like to illustrate the law of large number, and the convergence of the average value from binomial sample. We can generate samples using > n=200 > k=1000 > set.seed(1) > X=matrix(sample(0:1,size=n*k,replace=TRUE),n,k) Each row will be a traje...
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LaTeX in R graphs
A nice post was recently published on the rsnippets blog, about the tikzDevice R package. This package is – indeed – awesome. Even if it has been removed from the CRAN website. Of course, it can be download from the archive folder, on http://cran.r-project.org/…, but also (for a more recent version) on http://download.r-forge.r-project.o...
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Poisson regression on non-integers
In the course on claims reserving techniques, I did mention the use of Poisson regression, even if incremental payments were not integers. For instance, we did consider incremental triangles > source("http://perso.univ-rennes1.fr/arthur.charpentier/bases.R") > INC=PAID > INC[,2:6]=PAID[,2:6]-PAID[,1:5] > INC [,1] [,2] [,3] [,4] [,5] [,6]...
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