Publications by arthur charpentier
Nonconvexity, and playing indoor paintball
Following the two previous posts (here and there), on the number of people that don’t get wet while playing with water pistols, consider now an indoor version, in a non-convex room (i.e. player behind wall are now, somehow, protected). In the previous posts, players where playing on a square field, and I briefly mentioned that if the field was ...
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Talk on quantiles at the R Montreal group
This afternoon, I will be giving a two-hour talk at McGill on quantiles, quantile regressions, confidence regions, bagplots and outliers. Before defining (properly) quantile regressions, we will mention regression on (local) quantiles, as on the graph below, on hurricanes, In order to illustrate quantile regression, consider the following natali...
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Short versus long papers, in academic journals
This Monday, during my talk on quantile regressions (at the Montreal R-meeting), we’ve seen how those nice graphs could be interpreted, with the evolution of the slope of the linear regression, as a function of the probability level. One illustration was on large hurricanes, from Elsner, Kossin & Jagger (2008). The other one was on birthweight,...
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Open data and ecological fallacy
A couple of days ago, on Twitter, @alung mentioned an old post I did publish on this blog about open-data, explaining how difficult it was to get access to data in France (the post, published almost 18 months ago can be found here, in French). And @alung was wondering if it was still that hard to access nice datasets. My first answer was tha...
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Correlations, dimension, and risk measure
Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned that default correlation was much lower for retail companies than it could be for corporate risk. I...
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Finding Waldo, a flag on the moon and multiple choice tests, with R
I have to admit, first, that finding Waldo has been a difficult task. And I did not succeed. Neither could I correctly spot his shirt (because actually, it was what I was looking for). You know, that red-and-white striped shirt. I guess it should have been possible to look for Waldo’s face (assuming that his face does not change) but I still h...
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Non transitivity of correlation for random vectors in dimension 3
Dependence in dimension 2 is difficult. But one has to admit that dimension 2 is way more simple than dimension 3 ! I recently rediscovered a nice paper, Langford, Schwertman & Owens (2001), on transitivity of the property of being positively correlated (which inspired the odd title of this post). And more recently, Castro Sotos, Vanhoof, Van Den...
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Births and week-ends, in France
This week, I have seen on the internet (sorry, I cannot find proper references) the graph produced here on the right: which birthday is most likely ? The fact that I have no further information is important, since I do not know in which country such a graph was obtained. At least, I know it should not be France… In France, I have already mentio...
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French dataset: population and GPS coordinates
A short post today based on recent work by @3wen (Ewen Galic, graduate Student in Rennes, spending a year in Montreal). Since we were working on a detailed French dataset (per commune), we needed a dataset containing a list all communes, with population and location. GPS coordinates were extracted from Google, using the following php file, inspir...
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Life contingencies with R
I will be giving in less than four weeks a short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The talk will be on Actuarial models with R, and first part will be dedicated to life insurance. A complete set of slides can be ...
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