Probability & Statistics

Posts that deal with probability and statistics

Building R 4.2 for Windows with OpenBLAS

Published by on January 17, 2022 | 1 Response

This post outlines the steps needed for building R 4.2 for Windows with OpenBLAS using the the new Rtools42 build system. With the soon-to-be released new UCRT toolchain for building R on Windows, the build process changes once again. First and foremost, we Windows users owe a deep debt of gratitude first to Duncan Murdoch Read the full article…

Building R 4+ for Windows with OpenBLAS

Published by on May 12, 2020 | 10 Responses

This post outlines the steps needed to build R 4+ for Windows with OpenBLAS. The release of R 4.0 includes significant changes to the Windows build system from prior versions—for the better! Before anything, we all owe Jeroen Ooms significant gratitude for the many hours he spent working on the build system. Thank you, Jeroen!! Read the full article…

histoRicalg: The effort to document historic and historical numerical algorithms in R

Published by on July 29, 2018

Recently, the R-consortium accepted a new project called histoRicalg. The main goal of the project is to document and transfer knowledge of some older algorithms used by R and by other computational systems. There is a lot of R written in Fortran—much of which is in the old F77 format—and in C whose original implementations Read the full article…

Gelman on Meehl

Published by on March 23, 2015

Today, Andrew Gelman posted about a paper written over thirty years ago by Paul Meehl. Even though I believe actuaries are less exposed than social science statisticians to some of the pitfalls of what Gelman calls the “garden of forking paths,” we are still exposed, and I’d recommend reading Gelman’s posts on the issue. I Read the full article…

I’ve updated the directions as to how to build 64-bit R for Windows linking to OpenBLAS, as the entire R build process for Windows will change for R version 3.2 and subsequent. I’ve turned it into a static page, instead of a post, in case the build process changes again. While the title has 3.2 in it, the URL doesn’t, so it should be future-proof. Then again, that’s number 47 on the list of 996 famous last words! As always, I’m interested in hearing if anyone successfully builds it and how much of a difference it makes.

Flavors of risk: process, parameter, model, and unknown

Published by on September 15, 2014 | 1 Response

I’ve recently been asked a number of times as to the differences between various sources of risks one is exposed to when creating a model, in specific, for the difference between parameter and model risk. I’ve used the following allegory a number of times to explain how I see the differences between process, parameter, model, Read the full article…

Big Data, Correlations, and the Hales-Jewett Theorem

Published by on May 21, 2014 | 3 Responses

“Big Data” has become one of the most heralded tools, or at least buzzwords, of this decade. The use of “big data” is trumpeted by many studies in almost all disciplines, and, too an extent, understandably so. Hand-in-hand with the geometric progression of computing power has been the development of algorithms that can parse huge Read the full article…

Correcting a pseudo-correlation matrix to be positive semidefinite

Published by on August 19, 2013 | 2 Responses

In a recent LinkedIn conversation, the topic of correlation between multiple financial indices was raised. While the actual details are not relevant, the discussion reminded me of one of the concerns I have whenever multivariate correlation is used—how to populate the correlation matrix. First, some background. Unfortunately, most financial random variables are not normally distributed—they Read the full article…