Note on "model diversity"

Apr 12, 2021       2 mins     Tag: modeling
In my previous blog post on hierarchical stacking, reader “Chaos” pointed to me Gavin Brown’s Ph.D. thesis on Negative Correlation (NC) Learning which had a good characterization of the importance of diversity to stacking or...
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I failed an interview for being Bayesian

Apr 07, 2021       3 mins     Tag: zombie teaching
I get an interview feedback from a company. I initially thought my interviews went well but it turned out that the company had a different opinion. Generally, it would be silly for me to post...
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Two approaches for online updates in the election forecast

Mar 03, 2021       3 mins     Tag: modeling
The term online update here is referred to updating a statistical model after certain modeled outcome is observed. A concrete example is in election forecast: the state election result comes in sequence, and that is...
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Four open questions on ensemble methods

Mar 01, 2021       1 min Tag: modeling computing
In a recent paper I wrote, I discussed a few open questions on ensemble methods: Both BMA and stacking are restricted to a linear mixture form, would it be beneficial to consider other aggregation forms...
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Career development

Mar 01, 2021       3 mins     Tag: zombie
Recently I have gone through a few industry job applications. Here is a few examples that manifest how amusing this procedure can become
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Best point mass approximation

Feb 20, 2021       1 mins     Tag: computation
It comes a lot that we often summarize a continuous distribution (often, posterior distribution of parameter estimation or of predictions) by a point mass (or a sharpe spike) for (1) computation or memory cost, (2)...
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Measuring extrapolation

Feb 19, 2021       7 mins     Tag: modeling causal
Cramér–Rao lower bound I will not call myself a theoretic statistician but sometimes I still find mathematical statistics amusing especially when they have practical implications. To start this blog post, I will go from Cramér–Rao...
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Monte Carlo estimate of quantile

Nov 24, 2020       4 mins     Tag: computation
This comes a lot in Monte Carlo computation: we are only given finite draws but we want to compute extreme quantiles.
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Book review "Discrete Distribution"

Nov 21, 2020       2 mins     Tag: book
Today I was reading the book “Discrete Distribution” by Johnson and Kotz. I did not realize it has a newer version until I started this blog post—-the edition I read was published in 1969 by...
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Why Bayesian models could have better predictions.

Sep 28, 2020       2 mins     Tag: modeling
In a predictive paradigm, no one really cares about how I obtain the estimation or the prediction. It can come from some MLE, MAP of risk minimization, or some Bayes procedure. Also, when we talk...
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