Author Archives: econostatistician

Karl Popper: Conjectures and Refutations

(1) It is easy to obtain confirmations, or verifications, for nearly every theory-if we look for confirmations. (2) Confirmations should count only if they are the result of risky predictions; that is to say, if, unenlightened by the theory in … Continue reading

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Some notes on Kalman Filtering

State Space form Measurement Equation Transition Equation Future form

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Expectation: Useful properties and inequalities

If is a random variable on . The expected value of is defined as Inequalities Jensen’s inequality. If is convex and Holder’s inequality. If with then Cauchy-Schwarz Inequality: For

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A nice chart of univariate distribution relationships

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Big Data for Volatility vs.Trend

So different aspects of Big Data — in this case dense vs. tall — are of different value for different things.  Dense data promote accurate volatility estimation, and tall data promote accurate trend estimation. More (No Hesitations blog)

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The limitations of randomised controlled trials

In recent years, the use of randomised controlled trials has spread from labour market and welfare programme evaluation to other areas of economics (and to other social sciences), perhaps most prominently in development and health economics. This column argues that … Continue reading

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Very brief notes on measures: From σ-fields to Carathéodory’s Theorem

Definition 1. A -field is a non-empty collection of subsets of the sample space closed under the formation of complements and countable unions (or equivalently of countable intesections – note ). Hence is a -field if whenever whenever Definition 2. … Continue reading

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