# Tagged Questions

"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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### 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 ...
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### Standard errors of hyperbolic distribution estimates using delta-method?

I want to calculate the standard errors of a fitted hyperbolic distribution. In my notation the density is given by \begin{align*} ...
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### The vcov function cannot be applied?

I originally asked a question about the delta-method in the context of the hyperbolic distribution. I got an answer there, which is useful, except that it says I should apply the ...
858 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 ...
566 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 ...
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### Elementary approach to higher order asymptotics

I am trying to understand “higher order asymptotics”. I find several texts on Likelihood asymptotics, nothing’s easy to read... if you have any nice pointers on this direction, I’ll be interested; ...
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. ...