The bias-variance decomposition

This week, I am teach­ing my Busi­ness Ana­lyt­ics class about the bias-​​variance trade-​​off. For some rea­son, the proof is not con­tained in either ESL or ISL, even though it is quite sim­ple. I also dis­cov­ered that the proof cur­rently pro­vided on Wikipedia makes lit­tle sense in places.

So I wrote my own for the class. It is longer than nec­es­sary to ensure there are no jumps that might con­fuse stu­dents.
Con­tinue reading →

Murphy diagrams in R

At the recent Inter­na­tional Sym­po­sium on Fore­cast­ing, held in River­side, Cal­i­for­nia, Till­man Gneit­ing gave a great talk on “Eval­u­at­ing fore­casts: why proper scor­ing rules and con­sis­tent scor­ing func­tions mat­ter”. It will be the sub­ject of an IJF invited paper in due course.

One of the things he talked about was the “Mur­phy dia­gram” for com­par­ing fore­casts, as pro­posed in Ehm et al (2015). Here’s how it works for com­par­ing mean fore­casts. Con­tinue reading →

North American seminars: June 2015

For the next few weeks I am trav­el­ling in North Amer­ica and will be giv­ing the fol­low­ing talks.

The Yahoo talk will be streamed live.

I’ll post slides on my main site after each talk.

Statistical modelling and analysis of big data

I’m cur­rently attend­ing the one day work­shop on this topic at QUT in Bris­bane. This morn­ing I spoke on “Visu­al­iz­ing and fore­cast­ing big time series data”. My slides are here.

The talks are being streamed.

OVERVIEW

Big data is now endemic in busi­ness, indus­try, gov­ern­ment, envi­ron­men­tal man­age­ment, med­ical sci­ence, social research and so on. One of the com­men­su­rate chal­lenges is how to effec­tively model and analyse these data.

This work­shop will bring together national and inter­na­tional experts in sta­tis­ti­cal mod­el­ling and analy­sis of big data, to share their expe­ri­ences, approaches and opin­ions about future direc­tions in this field.

IASC Data Analysis Competition 2015

The Inter­na­tional Asso­ci­a­tion for Sta­tis­ti­cal Com­put­ing (IASC) is hold­ing a Data Analy­sis Com­pe­ti­tion. Win­ners will be invited to present their work at the Joint Meet­ing of IASC-​​ABE Satel­lite Con­fer­ence for the 60th ISI WSC 2015 to be held at Atlân­tico Búzios Con­ven­tion & Resort in Búzios, RJ, Brazil (August 2–4, 2015). They will also be invited to sub­mit a man­u­script for pos­si­ble pub­li­ca­tion (fol­low­ing peer review) to IASC’s offi­cial jour­nal, Com­pu­ta­tional Sta­tis­tics & Data Analy­sis. Con­tinue reading →