This comes a lot in Monte Carlo computation: we are only given finite draws but we want to compute extreme quantiles.

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...

This is wrong. Indeed it can be opposite.

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...

in general B-spline is sensitive to the boundary knots, while the unknown support of latent variable models amplifies such sensitivity.

I occasionally read Howard Marks’s memo, and in my recent infrequent visit, I have constantly encountered him citing Marc Lipsitch, Professor of Epidemiology at Harvard, that (in Lipsitch’s covid research and in Marks’s money making)...

I took this seminar class on Large Deviation Principle (LDP) by Sumit. I summarize some following results that I personally think most relevant (to what I am doing now). Most results are from the book...

M asked me a question which essentially looks like this: In a mediation model a and b are regression coefficient through the mediation path, and the final quantity of interest is therefore the product $ab$....

On January 18 2020, the pre-pandemic era, when the stock market in both US and China was still busy celebrating their phase-one trade deal, I saw this news in the China section of BBC which...

On the brighter side, Ronald Reagan was 21 and looking for work in 1932, one of the worst years of the Great Depression, who later said "To be young in my generation was to feel that your future had been mortgaged out from under you, and that's a tragic mistake...

Today I was looking into my citation profile. And when I checked self-citation, I noticed a Nature article that baldly claimed “Men cite themselves more than women do…The apparent trend has been on the rise...

So I have stayed in my room for more than three weeks, and by stay in the room I mean strictly staying in the room without even touching the knob of the outdoor once –...

Let’s recall the eight-school example– the posterior distribution of the school effect is essentially indistinguishable from 0, which by and large says there is little school-specific effect.

A good Cauchy

Probably not. "Just accept that it's really hard to know"--Jerome Powell.