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Pariwise and global dependence
I was just contacted by some researchers willing to test if a multivariate copula is – or not – Gaussian. They use a test proposed in an unpublished paper by Malevergne and Sornette, stating that one...
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Likelihood Based Methods, for Extremes
This week, in the MAT8595 course, we will start the section on inference for extreme values. To start with something simple, we will use maximum likelihood techniques on a Generalized Pareto...
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Bias of Hill Estimators
In the MAT8595 course, we’ve seen yesterday Hill estimator of the tail index. To be more specific, we did see see that if , with , then Hill estimators for are given by for . Then we did say that...
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p-hacking, or cheating on a p-value
Yesterday evening, I discovered some interesting slides on False-Positives, p-Hacking, Statistical Power, and Evidential Value, via @UCBITSS ‘s post on Twitter. More precisely, there was this slide on...
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The ethics of modelling in a world where normality no longer exists
(this article was originaly writen in French – part one and two – and published in Risques) The mechanism for covering natural disasters, in France, was created to compensate “direct uninsurable...
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