Feb 23, 2021
2 mins
Tag:
modeling
Depends who you ask.
Read More
Feb 23, 2021
5 mins
Tag:
causal
I was reading Peter Bühlmann’s statistical science article “Invariance, Causality and Robustness”. To be fair, he gave a short course in 2020 here in Columbia, but after reading this paper I guess I did not...
Read More
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)...
Read More
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...
Read More
Dec 16, 2020
9 mins
Tag:
modeling
The likelihood principle is often phrase as an axiom in Bayesian statistics. My interpretation of the likelihood principle reads:
Read More
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.
Read More
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...
Read More
Oct 21, 2020
1 mins
Tag:
modeling
This is wrong. Indeed it can be opposite.
Read More
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...
Read More
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.
Read More
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)...
Read More
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...
Read More
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 $ab$....
Read More
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...
Read More
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...
Read More