Posted on May 12, 2011, 2:31 pm, by JD Long, under

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I had someone ask me about fitting a beta distribution to data drawn from a gamma distribution and how well the distribution would fit. I’m not a “closed form” kinda guy. I’m more of a “numerical simulation” type of fellow. So I whipped up a little R code to illustrate the process then we changed […]

A bad analogy can frame an entire conversation improperly. This is one of those “anecdotes from a middle-aged man posts.” So take it with a grain of salt. A number of years ago I worked in the risk management team for an insurance company that sold long term care (LTC) insurance. LTC insurance is a […]

Posted on April 18, 2011, 2:48 pm, by JD Long, under

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In a previous post I discussed my frustrations with trying to get Dropbox or Spideroak to perform BOTH encrypted remote backup and AND fast two way file syncing. This is the detail of how I set up for two machines, both Ubuntu 10.10, to perform two way sync where a file change on either machine […]

Posted on September 22, 2010, 12:00 pm, by JD Long, under

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A few months ago I switched my laptop from Windows to Ubuntu Linux. I had been connecting to my corporate SQL Server database using RODBC on Windows so I attempted to get ODBC connectivity up and running on Ubuntu. ODBC on Ubuntu turned into an exercise in futility. I spent many hours over many days […]

Posted on September 16, 2010, 11:11 am, by JD Long, under

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Over at stats.stackexchange.com recently, a really interesting question was raised about principal component analysis (PCA). The gist was “Thanks to my college class I can do the math, but what does it MEAN?” I felt like this a number of times in my life. Many of my classes were focused on the technical implementations they […]

Posted on September 2, 2010, 12:03 pm, by JD Long, under

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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 […]

Posted on August 31, 2010, 9:17 am, by JD Long, under

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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 […]

Posted on August 30, 2010, 2:12 pm, by JD Long, under

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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 […]

Posted on February 16, 2010, 12:31 pm, by JD Long, under

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I just came back from the future and let me be the first to tell you this: Learn some Chinese. And more than just cào nǐ niáng (肏你娘) which your friend in grad school told you means “Live happy with many blessings”. Trust me, I’ve been hanging with Madam Wu and she told me it […]

Posted on February 9, 2010, 1:57 pm, by JD Long, under

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One of my primary uses for R is to build stochastic simulations of insurance portfolios and reinsurance treaties. It’s not uncommon for each of my simulations to take 20 seconds or more to complete (if you’re doing the math, that’s 55 hours for 10K sims or, approximately 453 games of solitaire) . Initially I ran […]