In this post about the most popular machine learning R packages I showed the incredible- exponential growth displayed by R software, measured by the number of package downloads. Here is another graph which shows a more linear growth in R (and an impressive growth in python) as measured by % of question posted in stack overflow
Category: Blog
LASSO, LASSO, LASSO
LASSO stands for Least Absolute Shrinkage and Selection Operator. It was first introduced 21 years ago by Robert Tibshirani (Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society. Series B). In 2004 the four statistical masters: Efron, Hastie, Johnstone and Tibshirani joined together to write the paper Least angle regression published in the Annals of statistics. It is that paper that sent the LASSO to the podium. The reason? they removed a computational barrier. Armed with a new ingenious geometric interpretation, they presented an algorithm for solving the LASSO problem. The algorithm is as simple as solving an OLS problem, and with computer code to accompany their paper, the LASSO was set for its liftoff*.
The LASSO overall reduces model complexity. It does this by completely excluding some variables, using only a subset of the original potential explanatory variables. Since this can add to the story of the model, the reduction in complexity is a desired property. Clarity of authors’ exposition and well rehashed computer code are further reasons for the fully justified, full fledged LASSO flareup.
This is not a LASSO tutorial. Google-search results, undoubtedly refined over years of increased popularity, are clear enough by now. Also, if you are still reading this I imagine you already know what is the LASSO and how it works. To continue from this point, what follows is a selective list of milestones from the academic literature- some theoretical and practical extensions.
The annual useR! conference
This year on 4th of July I will be attending the annual usrR! conference. While it is often in the US, this year the UseR! conference takes place in the nearby Brussels. Sweet.
The website is state-of-the-art “don’t make me think” style. The program looks amazing. Belgian beers with the R community, exciting. Registration still open.
Watch this space for highlights and afterthoughts.
Density Estimation Using Regression
Density estimation using regression? Yes we can!
I like regression. It is one of those simple yet powerful statistical methods. You always know exactly what you are doing. This post is about density estimation, and how to get an estimate of the density using (Poisson) regression.
Computer Age Statistical Inference – now free
If you consider yourself Econometrician\Statistician or one of those numerous buzz word synonyms that are floating around these days, Computer Age Statistical Inference: Algorithms, Evidence and Data Science by Bradley Efron and Trevor Hastie is a book you can’t miss, and now nor should you. You can download the book for free.
My first inclination is to deliver an unequivocal recommendation. But in truth, my praises would probably fall short of what was already written.
So what can I give you? I can say that there are currently 6 amazon reviews, with a 4.5 average. One of the reviewers writes that there is some overlap with previous work. I agree. But it doesn’t matter. It reads so well, call it a refresher. Let’s face it, it is not as if you always have it so clear in your head such that you can afford to skip sections because you read something similar before.
I can also tell you why I think it is a special book.
Random Books
It seems like a very long while since my bachelor. Checking my bookshelf the other day I was thinking to flag some of those books which helped or inspired me along the way. Here they are in no particular order.
Statistical Shrinkage
Shrinkage in statistics has increased in popularity over the decades. Now statistical shrinkage is commonplace, explicitly or implicitly.
But when is it that we need to make use of shrinkage? At least partly it depends on signal-to-noise ratio.
Top countries in poker (Test equality of proportions using bootstrap)
Machine-estimated reading time: [est_time]
Every once in a while I play poker online. The poker site allows you to ask for tournament history. You get an email which contains hundreds summaries (I open several tables at once so have quite some history), a typical summary looks as follows:
Machine Trading – book review
Estimated reading time: [est_time]
In trading and in trading-related research one could be quickly overwhelmed with the sea of ink devoted to trading strategies and the like. It is essential that you “pick your battles” so to speak. I recently finished reading Machine Trading, by Ernest Chan. Here is what I think about the book.
Understanding False Discovery Rate
False Discovery Rate is an unintuitive name for a very intuitive statistical concept. The math involved is as elegant as possible. Still, it is not an easy concept to actually understand. Hence i thought it would be a good idea to write this short tutorial.
We reviewed this important topic in the past, here as one of three Present-day great statistical discoveries, here in the context of backtesting trading strategies, and here in the context of scientific publishing. This post target the casual reader, explaining the concept of False Discovery Rate in plain words.
Understanding K-Means Clustering
Introduction
Google “K-means clustering”, and you usually you find ugly explanations and math-heavy sensational formulas*. It is my opinion that you can only understand those explanations if you don’t need them; meaning you are already familiar with the topic. Therefore, this is a more gentle introduction to K-means clustering. Here you will find out what K-Means Clustering, an algorithm, actually does. You will get only the basics, but in this particular topic, the extensions are not wildely different.
R tips and tricks – the locator function
How many times have you placed the legend in R plot to discover it is being overrun by some points or lines in the chart? Usually what comes next is a trial-and-error phase where you adjust the location, changing the arguments of the x and y coordinates, and re-drawing the plot again to check if the legend or text are now positioned such that they are fully readable.
Outliers and Loss Functions
A few words about outliers
In statistics, outliers are as thorny topic as it gets. Is it legitimate to treat the observations seen during global financial crisis as outliers? or are those simply a feature of the system, and as such are integral part of a very fat tail distribution?
R tips and tricks – Set Working Directory
This is more an Rstudio tip than an R tip. It would be nice to know how the following works for different editors, but Rstudio is common enough and awesome enough for the following to be relevant.
Density Confidence Interval
Density estimation belongs with the literature of non-parametric statistics. Using simple bootstrapping techniques we can obtain confidence intervals (CI) for the whole density curve. Here is a quick and easy way to obtain CI’s for different risk measures (VaR, expected shortfall) and using what follows, you can answer all kind of relevant questions.