Publications by arthur charpentier
We keep breaking records ? so what ?… Get statistical perspective….
This summer, we have been told that some financial series broke some records (here, in French) For instance, the French CAC40 had negative return for 11 consecutive days (which has never been seen, so far). > library(tseries) > x<-get.hist.quote("^FCHI") > Y=x$Close > Z=diff(log(Y)) > RUN=rle(as.character(Z>=0))$lengths > n=length(RUN) > LOSS=...
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Short selling, volatility and bubbles
Yesterday, I wrote a post (in French) about short-selling in financial market since some journalists claimed that it was well-known that short -selling does increase volatility on financial market. Not only in French speaking journals actually, since we can read on http://www.forbes.com that « in a market with restrictions on short...
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Consecutive number and lottery
Recently, I have been reading odd things about strategies to win at the lottery. E.g. or I wrote something a long time ago, but maybe it would be better to write another post. First, it is easy to get data on the French lotteries, including draws, number of winners and gains, loto=read.table("http://freakonometrics.blog.free.fr/public/ data/lo...
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Strange behavior of correlation estimation
The Gaussian vector is extremely interesting since it remains Gaussian when conditioning. More precisely, if is a Gaussian random vector, then the conditional distribution of is also Gaussian. Further, it is possible to derive explicitly the covariance matrix. And interesting result, that one will not depend on the conditioning. Here, it will w...
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Confidence interval for predictions with GLMs
Consider a (simple) Poisson regression . Given a sample where , the goal is to derive a 95% confidence interval for given , where is the prediction. Hence, we want to derive a confidence interval for the prediction, not the potential observation, i.e. the dot on the graph below> r=glm(dist~speed,data=cars,family=poisson) > P=pr...
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Conference in Lyon on climate change and insurance
I will be in Lyon next Monday to give a talk on “Modeling heat-waves: return period for non-stationary extremes” in a workshop entitled “Changement climatique et gestion des risques“. An interesting reference might be some pages from Le Monde (2010). The talk will be more a discussion about modeling series of temperatures (daily temperatu...
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PhD defense on copulas
Related To leave a comment for the author, please follow the link and comment on their blog: Freakonometrics - Tag - R-english. R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job. Want to share your content on R-blogg...
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Basics on Markov Chain (for parents)
Markov chains is a very interesting and powerful tool. Especially for parents. Because if you think about it quickly, most of the games our kids are playing at are Markovian. For instance, snakes and ladders… It is extremely easy to write down the transition matrix, one just need to define all snakes and ladders. For the one above, we have, n=...
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Maps with R, and polygon boundaries
With R, it is extremely easy to draw maps. Let us start with something simple, like French regions. Baptiste mentioned on his blog that shapefiles can be downloaded from http://ign.fr/ website. Hence, if you extract the zip file, it is possible to get claims frequency per region (as done in the course ACT2040), > library(maptools) > library(maps)...
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Quel lancer de dé faire à Serpents et Échelles ?
Hier soir, j’évoquais l’utilisation des chaînes de Markov au jeu Serpents et Échelles. Comme me le faisait remarquer Jean-Philippe, de manière assez étrange, les enfants sont toujours beaucoup plus content après avoir fait un 6 qu’après avoir fait un 1. Mais est-ce réellement la valeur optimale que le dé doit prendre ? Ça dépend ...
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