# 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.

# 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...

# Does MAP estimate always overfit?

Oct 21, 2020       1 mins     Tag: modeling
This is wrong. Indeed it can be opposite.

# 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...

# Some difficulty of fitting splines on latent variables

Sep 16, 2020       3 mins     Tag: modeling
in general B-spline is sensitive to the boundary knots, while the unknown support of latent variable models amplifies such sensitivity.

# Gaussian process regressions having opinions or speculation.

May 19, 2020       3 mins     Tag: zombie modeling
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)...

# A very short introduction on the large deviation principle

May 06, 2020       15 mins     Tag: tutorial
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...

# Sample sd of indirect effects in a multilevel mediation model

May 03, 2020       1 mins     Tag: modeling
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 $ab$....

# Back to January 18 when there were 60 cases globally

May 03, 2020       3 mins     Tag: decision-theory
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...

# If you encounter a recession in your 20s, you might be less likely to win the White House

Apr 17, 2020       6 mins     Tag: zombie
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...

# Do men cite themselves more than women?

Apr 12, 2020       1 mins     Tag: modeling zombie
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...

# Should I do laundry and get grocery delivery at the same day or separate days?

Mar 29, 2020       3 mins     Tag: decision theory
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 –...

# If we only see the pledged delegates, who wins Iowa?

Feb 14, 2020       3 mins     Tag: politics
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.