When I did a brief post three days ago I had no plans on writing two more posts on correlated random number generation. But I’ve gotten a couple of emails, a few comments, and some Twitter feedback. In response to my first post, Gappy, calls me out and says, “the way mensches do multivariate (log)normal [...]
So after yesterday’s post on Simple Simulation using Copulas I got a very nice email that basically begged the question, “Dude, why are you making this so hard?” The author pointed out that if what I really want is a Gaussian correlation structure for Gaussian distributions then I could simply use the mvrnorm() function from [...]
A friend of mine gave me a call last week and was wondering if I had a little R code that could illustrate how to do a Cholesky decomposition. He ultimately wanted to build a Monte Carlo model with correlated variables. I pointed him to a number of packages that do Cholesky decomp but then [...]
My wife and I bought a foreclosed house a few months ago. This house had been part of mortgage fraud and we bought it at auction. Interesting life experience, to say the least. The finished basement was built with radiant heat tubing poured into the concrete. These pipes are designed to be hooked to a [...]
I do some work from home, some work from an office in Chicago and some work on the road. It’s not uncommon for me to want to tunnel all my web traffic through a VPN tunnel. In one of my previous blog posts I alluded to using Amazon EC2 as a way to get around [...]
I’ve been continuing to muck around with using R inside of Amazon Elastic Map reduce jobs. I’ve been working on abstracting the lapply() logic so that R will farm the pieces out to Amazon EMR. This is coming along really well, thanks in no small part to the Stack Overflow [r] community. I have no [...]
I’m kinda blown away by the number of folks who have joined the Chicago R User Group (RUG) in the last few weeks. As of this morning we have 65 people signed up for the group and 25 who have said that they are planning on attending the meetup this Thursday (yes, only 3 days [...]
On Tuesday May 4th at 9:30 PM central, 10:30 eastern, I’ll be giving a live online presentation as part of the Vconf.org open conference series. I’ll be speaking about R and why I started using R a couple years ago. This is NOT going to be a technical presentation but rather an illustration of how [...]
Back in November 2009 Wired wrote an article about some grad students who decided to try to stochastically model throwing darts. Because I don’t actually read printed material I didn’t see the article until a couple of months ago. My immediate thought was, “hey, I drink beer. I throw darts. I build stochastic models. Why [...]
I’ve been a long time reader of the blog “Messy Matters” (which invokes terrible images now that I am potty training a toddler). The authors, Sharad Goel and Daniel Reeves are academics who work in the Microeconomics and Social Systems (get it, MESS?!?) lab funded by Yahoo!. (What does Strunk and [...]