Blogs

I will post some of my statistical notes and thoughts here.

Best subset selection using primal dual active set (PDAS) algorithm

 Posted: 4/21/2021  

This post summarizes the key ideas of the primal dual active set (PDAS) algorithm to solve the best subset selection problem. The original paper can be found here . They also have a very nice R package on CRAN .

MLE, Fisher’s information, and robust standard error

 Posted: 4/15/2021  

This is a post on a couple of concepts in the foundation of statistical inference. It talks about how to find the maximum likelihood estimators (MLE), calculate the expected and estimated Fisher’s information, and derive a robust standard error when the working model fails.