Write and Rewrite

While engaged in research, I tended to spend too much time learning how to do, sparing little time to actually do. Its helpful to map the terrain and consider related work, but this can quickly turn into procrastination. In software development, you may end up building the wrong thing. …

Taylor Series

Taylor series express functions locally as a power series. They can be applied to find unknown value f(x) in terms of known value f(x0) when x is close to x0. This is quite commonplace. …

merge_asof

Merge asof fuzzy matches two timeseries. Typically you have X = (tx,x1,x2,) and Y = (ty, y1, y2,) data matrices and the timestamp vectors tx, ty are not aligned. For each time in tx, there exists a value in ty that is an approximate match. Often we want a data matrix Z = (tx, ty, x1-n, y1-n) so that we can compute joint statistics on (X,Y) where Z = merge_asof(X,Y).

First Post

Each post is about a useful technique found in stats, ML, trading, data science, or computing. I skip the intro, focus on the kernel, and assume you can fill in the blanks. The emphasis is on tools I’ve actually used, can speak fluently about, and return to regularly in my work.