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A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA 《长记忆简史:赫斯特、曼德布洛和ARFIMA之路》
Pub Date : 2017-05-26 DOI: 10.20944/PREPRINTS201705.0194.V1
T. Graves, R. Gramacy, N. Watkins, C. Franzke
Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing. In particular, it is important to test if a process is exhibiting long memory since that impacts the accuracy and confidence with which one may predict future events on the basis of a small amount of historical data. A major force in the development and study of long memory was the late Benoit B. Mandelbrot. Here we discuss the original motivation of the development of long memory and Mandelbrot's influence on this fascinating field. We will also elucidate the sometimes contrasting approaches to long memory in different scientific communities
长记忆通过决定系统的行为和可预测性在许多领域发挥着重要作用;例如,气候、水文、金融、网络和DNA测序。特别是,测试一个过程是否表现出长记忆是很重要的,因为它会影响人们在少量历史数据的基础上预测未来事件的准确性和信心。发展和研究长记忆的主要力量是已故的Benoit B. Mandelbrot。在这里,我们讨论长记忆发展的原始动机和曼德布洛特对这个迷人领域的影响。我们还将阐明在不同的科学团体中,有时会有不同的方法来研究长记忆
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引用次数: 74
Curriculum Guidelines for Undergraduate Programs in Data Science 数据科学本科课程指南
Pub Date : 2017-03-10 DOI: 10.1146/annurev-statistics-060116-053930
R. D. Veaux, Mahesh Agarwal, Maia Averett, Benjamin S. Baumer, Andrew Bray, T. Bressoud, Lance Bryant, Lei Cheng, Amanda Francis, R. Gould, Albert Y. Kim, Matt Kretchmar, Qin Lu, Ann Moskol, D. Nolan, Roberto Pelayo, Sean Raleigh, Ricky J. Sethi, Mutiara Sondjaja, Neelesh Tiruviluamala, P. Uhlig, Talitha M. Washington, Curtis L. Wesley, David L. White, Ping Ye
The Park City Math Institute (PCMI) 2016 Summer Undergraduate Faculty Program met for the purpose of composing guidelines for undergraduate programs in Data Science. The group consisted of 25 undergraduate faculty from a variety of institutions in the U.S., primarily from the disciplines of mathematics, statistics and computer science. These guidelines are meant to provide some structure for institutions planning for or revising a major in Data Science.
帕克城数学学院(PCMI) 2016年夏季本科教师课程旨在为数据科学本科课程编写指导方针。该小组由来自美国不同院校的25名本科教师组成,主要来自数学、统计学和计算机科学等学科。这些指导方针旨在为院校规划或修订数据科学专业提供一些框架。
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引用次数: 165
On $p$-values 在$ p $值
Pub Date : 2016-11-18 DOI: 10.5705/SS.202016.0507
Laurie Davies
Models are consistently treated as approximations and all procedures are consistent with this. They do not treat the model as being true. In this context $p$-values are one measure of approximation, a small $p$-value indicating a poor approximation. Approximation regions are defined and distinguished from confidence regions.
模型始终被视为近似值,所有程序都与此一致。他们不认为模型是正确的。在这种情况下,$p$值是近似值的一种度量,较小的$p$值表示近似值较差。定义了近似区域,并将其与置信区域区分开来。
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引用次数: 2
Dynamic Data in the Statistics Classroom 统计课堂中的动态数据
Pub Date : 2016-03-15 DOI: 10.5070/T5111031079
Johanna S. Hardin
The call for using real data in the classroom has long meant using datasets which are culled, cleaned, and wrangled prior to any student working with the observations. However, an important part of teaching statistics should include actually retrieving data from the Internet. Nowadays, there are many different sources of data that are continually updated by the organization hosting the data website. The R tools to download such dynamic data have improved in such a way to make accessing the data possible even in an introductory statistics class. We provide five full analyses on dynamic data as well as an additional nine sources of dynamic data that can be brought into the classroom. The goal of our work is to demonstrate that using dynamic data can have a short learning curve, even for introductory students or faculty unfamiliar with the landscape. The examples provided are unlikely to create expert data scrapers, but they should help motivate students and faculty toward more engaged use of online data sources.
长期以来,在课堂上使用真实数据的呼吁意味着,在任何学生处理观察结果之前,使用经过筛选、清理和整理的数据集。然而,统计学教学的一个重要部分应该包括从互联网上实际检索数据。如今,有许多不同的数据源,这些数据源由托管数据网站的组织不断更新。用于下载此类动态数据的R工具已经得到了改进,即使在入门级统计课程中也可以访问这些数据。我们提供了五种对动态数据的全面分析,以及另外九种可以带入课堂的动态数据来源。我们工作的目标是证明使用动态数据可以有一个很短的学习曲线,甚至对于不熟悉环境的入门学生或教师也是如此。所提供的示例不太可能培养出数据抓取专家,但它们应该有助于激励学生和教师更积极地使用在线数据源。
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引用次数: 4
Mandelbrot's 1/f fractional renewal models of 1963-67: The non-ergodic missing link between change points and long range dependence 曼德尔布罗特1963- 1967年的1/f分数更新模型:变化点与长期依赖之间的非遍历缺失环节
Pub Date : 2016-02-29 DOI: 10.1007/978-3-319-55789-2_14
N. Watkins
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引用次数: 8
What Teachers Should Know About the Bootstrap: Resampling in the Undergraduate Statistics Curriculum 关于本科统计学课程中的Bootstrap:重采样,教师应该知道什么
Pub Date : 2016-02-11 DOI: 10.6084/M9.FIGSHARE.1569497.V3
C. Tim
I have three goals in this article: (1) To show the enormous potential of bootstrapping and permutation tests to help students understand statistical concepts including sampling distributions, standard errors, bias, confidence intervals, null distributions, and P-values. (2) To dig deeper, understand why these methods work and when they don't, things to watch out for, and how to deal with these issues when teaching. (3) To change statistical practice---by comparing these methods to common t tests and intervals, we see how inaccurate the latter are; we confirm this with asymptotics. n >= 30 isn't enough---think n >= 5000. Resampling provides diagnostics, and more accurate alternatives. Sadly, the common bootstrap percentile interval badly under-covers in small samples; there are better alternatives. The tone is informal, with a few stories and jokes.
我在这篇文章中有三个目标:(1)展示自举和排列测试的巨大潜力,帮助学生理解统计概念,包括抽样分布、标准误差、偏差、置信区间、零分布和p值。(2)深入挖掘,了解这些方法为什么有效,什么时候无效,需要注意的事情,以及在教学中如何处理这些问题。(3)改变统计实践——通过将这些方法与普通的t检验和区间进行比较,我们看到后者是多么不准确;我们用渐近性证实了这一点。N >= 30是不够的——想想N >= 5000。重新采样提供诊断和更准确的替代方案。遗憾的是,在小样本中,常见的自举百分比间隔严重掩盖了这一点;还有更好的选择。语气非正式,有一些故事和笑话。
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引用次数: 3
J. B. S. Haldane's Contribution to the Bayes Factor Hypothesis Test J. B. S. Haldane对贝叶斯因子假设检验的贡献
Pub Date : 2015-11-25 DOI: 10.1214/16-STS599
Alexander Etz, E. Wagenmakers
This article brings attention to some historical developments that gave rise to the Bayes factor for testing a point null hypothesis against a composite alternative. In line with current thinking, we find that the conceptual innovation - to assign prior mass to a general law - is due to a series of three articles by Dorothy Wrinch and Sir Harold Jeffreys (1919, 1921, 1923). However, our historical investigation also suggests that in 1932 J. B. S. Haldane made an important contribution to the development of the Bayes factor by proposing the use of a mixture prior comprising a point mass and a continuous probability density. Jeffreys was aware of Haldane's work and it may have inspired him to pursue a more concrete statistical implementation for his conceptual ideas. It thus appears that Haldane may have played a much bigger role in the statistical development of the Bayes factor than has hitherto been assumed.
本文将关注一些历史发展,这些发展产生了贝叶斯因子,用于检验点零假设与复合替代的关系。按照目前的思路,我们发现概念上的创新——将先验质量分配给一般定律——是由于多萝西·林奇和哈罗德·杰弗里斯爵士(1919年、1921年、1923年)的一系列三篇文章。然而,我们的历史调查也表明,在1932年j.b.s.霍尔丹提出使用由点质量和连续概率密度组成的混合先验,对贝叶斯因子的发展做出了重要贡献。杰弗里斯知道霍尔丹的工作,这可能激励了他为他的概念思想追求更具体的统计实现。由此看来,霍尔丹在贝叶斯因子的统计发展中所起的作用,可能比迄今所假定的要大得多。
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引用次数: 82
An Outline of the Bayesian Decision Theory 贝叶斯决策理论概述
Pub Date : 2015-09-28 DOI: 10.1063/1.4959057
H. V. Erp, R. O. Linger, P. V. Gelder
The Bayesian decision theory is neo-Bernoullian in that it proves, by way of a consistency derivation, that Bernoulli’s utility function is the only appropriate function by which to translate, for a given initial wealth, gains and losses to their corresponding utilities. But the Bayesian decision theory deviates from Bernoulli’s original expected utility theory in that it offers up an alternative for the traditional criterion of choice of expectation value maximization, as it proposes to choose that decision which has associated with it the utility probability distribution which maximizes the mean of the expectation value and the lower and upper confidence bounds.
贝叶斯决策理论是新伯努利的,因为它通过一致性推导证明,伯努利的效用函数是唯一合适的函数,通过它,对于给定的初始财富,收益和损失转化为相应的效用。但贝叶斯决策理论偏离了伯努利最初的期望效用理论,它为传统的期望值最大化的选择标准提供了另一种选择,它提出选择与期望值均值和上下置信界限最大化的效用概率分布相关联的决策。
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引用次数: 3
A Conversation with Alan Gelfand 《与艾伦·盖尔芬的对话
Pub Date : 2015-09-10 DOI: 10.1214/15-STS521
B. Carlin, A. Herring
Alan E. Gelfand was born April 17, 1945, in the Bronx, New York. He attended public grade schools and did his undergraduate work at what was then called City College of New York (CCNY, now CUNY), excelling at mathematics. He then surprised and saddened his mother by going all the way across the country to Stanford to graduate school, where he completed his dissertation in 1969 under the direction of Professor Herbert Solomon, making him an academic grandson of Herman Rubin and Harold Hotelling. Alan then accepted a faculty position at the University of Connecticut (UConn) where he was promoted to tenured associate professor in 1975 and to full professor in 1980. A few years later he became interested in decision theory, then empirical Bayes, which eventually led to the publication of Gelfand and Smith [J. Amer. Statist. Assoc. 85 (1990) 398-409], the paper that introduced the Gibbs sampler to most statisticians and revolutionized Bayesian computing. In the mid-1990s, Alan's interests turned strongly to spatial statistics, leading to fundamental contributions in spatially-varying coefficient models, coregionalization, and spatial boundary analysis (wombling). He spent 33 years on the faculty at UConn, retiring in 2002 to become the James B. Duke Professor of Statistics and Decision Sciences at Duke University, serving as chair from 2007-2012. At Duke, he has continued his work in spatial methodology while increasing his impact in the environmental sciences. To date, he has published over 260 papers and 6 books; he has also supervised 36 Ph.D. dissertations and 10 postdocs. This interview was done just prior to a conference of his family, academic descendants, and colleagues to celebrate his 70th birthday and his contributions to statistics which took place on April 19-22, 2015 at Duke University.
1945年4月17日,艾伦·e·盖尔芬德出生于纽约布朗克斯区。他上的是公立小学,本科毕业于当时的纽约市立学院(CCNY,现在的纽约市立大学),擅长数学。后来,他千里迢迢来到斯坦福大学读研究生,这让他的母亲感到惊讶和悲伤。1969年,他在赫伯特·所罗门教授的指导下完成了论文,成为赫尔曼·鲁宾和哈罗德·霍特林的学院派孙子。然后,图灵接受了康涅狄格大学(UConn)的教职,1975年晋升为终身副教授,1980年晋升为正教授。几年后,他开始对决策理论感兴趣,然后是实证贝叶斯,最终导致Gelfand和Smith的出版[J]。阿米尔。中央集权。这篇论文向大多数统计学家介绍了吉布斯采样器,并彻底改变了贝叶斯计算。在20世纪90年代中期,图灵的兴趣转向了空间统计,在空间变化系数模型、共区域化和空间边界分析(wombling)方面做出了重要贡献。他在康涅狄格大学工作了33年,2002年退休,成为杜克大学统计与决策科学的詹姆斯·b·杜克教授,2007年至2012年担任主席。在杜克大学,他继续在空间方法论方面的工作,同时增加了他在环境科学方面的影响力。至今已发表论文260余篇,出版专著6部;指导博士论文36篇,博士后10篇。2015年4月19日至22日,他的家人、学术后代和同事在杜克大学举行了一次会议,庆祝他70岁生日和他对统计学的贡献。
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引用次数: 0
Le Her and Other Problems in Probability Discussed by Bernoulli, Montmort and Waldegrave 伯努利、蒙蒙特和瓦德格拉夫讨论的概率中的勒赫和其他问题
Pub Date : 2015-02-01 DOI: 10.1214/14-STS469
D. Bellhouse, Nicolas Fillion
Part V of the second edition of Pierre R'{e}mond de Montmort's Essay d'analyse sur les jeux de hazard published in 1713 contains correspondence on probability problems between Montmort and Nicolaus Bernoulli. This correspondence begins in 1710. The last published letter, dated November 15, 1713, is from Montmort to Nicolaus Bernoulli. There is some discussion of the strategy of play in the card game Le Her and a bit of news that Montmort's friend Waldegrave in Paris was going to take care of the printing of the book. From earlier correspondence between Bernoulli and Montmort, it is apparent that Waldegrave had also analyzed Le Her and had come up with a mixed strategy as a solution. He had also suggested working on the "problem of the pool," or what is often called Waldegrave's problem. The Universit"{a}tsbibliothek Basel contains an additional forty-two letters between Bernoulli and Montmort written after 1713, as well as two letters between Bernoulli and Waldegrave. The letters are all in French, and here we provide translations of key passages. The trio continued to discuss probability problems, particularly Le Her which was still under discussion when the Essay d'analyse went to print. We describe the probability content of this body of correspondence and put it in its historical context. We also provide a proper identification of Waldegrave based on manuscripts in the Archives nationales de France in Paris.
1713年出版的Pierre R ' e}mond de montmont 's Essay d'analyse sur les jeux de hazard第二版的第五部分包含了montmont和Nicolaus Bernoulli之间关于概率问题的通信。这封书信开始于1710年。最后一封公开的信是1713年11月15日蒙蒙特写给尼古拉斯·伯努利的。书中有一些关于纸牌游戏“乐和”的策略的讨论,还有一些关于蒙特在巴黎的朋友瓦德格拉夫将负责这本书的印刷的消息。从伯努利和蒙特蒙特之间的早期通信中可以看出,瓦德格拉夫也分析了勒赫,并提出了一个混合策略作为解决方案。他还建议研究“水池问题”,也就是通常所说的瓦德格拉夫问题。巴塞尔大学图书馆还收藏了伯努利和蒙特蒙特在1713年之后写的另外42封信,以及伯努利和瓦德格拉夫之间的两封信。这些信件都是用法语写的,这里我们提供了关键段落的翻译。三人继续讨论概率问题,特别是在《分析论文》出版时仍在讨论的勒赫。我们描述了这个通信体的概率内容,并把它放在历史背景中。我们还根据巴黎法国国家档案馆的手稿提供了瓦德格拉夫的适当鉴定。
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引用次数: 6
期刊
arXiv: Other Statistics
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