"The delta method, in its essence, expands a function of a random variable about its mean, usually with a one-step Taylor approximation, and then takes the variance." The term also refers to a method for showing that a function of an asymptotically normal statistical estimator is asymptotically ...
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votes
2answers
4k views
Variance of a function of one random variable
Lets say we have random variable $X$ with known variance and mean. The question is: what is the variance of $f(X)$ for some given function f. The only general method that I'm aware of is the delta ...
2
votes
1answer
451 views
Delta method and correlated variables
I have been reading about the delta method in regards to auto regressive distributed lag models. This is very new to me, so excuse any beginner mistakes.
The problem is as follows:
We have a model ...
3
votes
2answers
621 views
How do you calculate standard errors for a transformation of the MLE?
I need to make inference about a positive parameter $p$. To acomodate the positiveness I reparametrized $p=\exp(q)$. Using MLE routine I computed point estimate and s.e for $q$. The invariance ...
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votes
0answers
102 views
Delta Method Derivation
I at looking at Xu and Long's paper on using the delta method to construct CI's for logistic regression predicted probabilities.
I am generally following except for two questions I am hoping someone ...
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vote
1answer
544 views
Calculating the Variance using Delta Method
I'm trying to find the variance of $L$, $Var(L)$, using the delta method (I want to find a closed form). $L$ is defined as:
$$L = \frac{A}{B} + \frac{C}{D}$$
All $A$, $B$, $C$, and $D$ are dependent.
...
