# Tagged Questions

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### Is it possible to construct an empirical “distribution” from empirical data?

I am trying to compare two (univariate) data sets using the HellingerDist function described here. However, this package only allows the a ...
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### Empirical Conditional Intensity Function

I'm trying to compute the empirical conditional intensity function in my data. I have two types of events, event Type1 and event Type2, that can occur in a time interval of, say, 1 day (events don't ...
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### bootstrapping the density: bias from parametric bootstrap of polynomial fit of binned frequencies

Bootstrap examples for density estimation usually start with resampling from the empirical distribution of the "micro data", e.g. here on Normal Deviate talking about confidence intervals for ...
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### Accepted threshold to use for accepting results after empirically estimating a FDR from repeated randomization of the original data set?

Question: Is there a "rule of thumb" for choosing a False Discovery Rate threshold for accepting results when empirically estimating an FDR from repeated randomization of the original data set to ...
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### Fitting a correlation function to my data

I have some spatial data and I want to fit a correlation function may be exponential or gaussian to my data. I could calculate the correlation for different pairs of my spatial point to get some ...
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### Empirical Bayes/MCMC references

I'm interested in references for running empirical Bayes (EB) in conjunction with MCMC. The closest thing I've found to what I'm looking at is a surprisingly recent and somewhat obscure paper ...
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### Plot empirical vs theoretical distributions in MATLAB

I have some data that I would like to compare with a theoretical distribution for which I know the parameters. How do I plot the empirical pdf against the theoretical pdf? Perhaps I should add that I ...
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### Empirical Likelihood estimation in R

I'm new to Empirical Likelihood Estimation. I'm trying to find an example of how to find the empirical likelihood estimate of a univariate mean $\mu$ using the ...
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### Convergence of empirical distribution parameters of a sequence of generated normal variables

I am generating a sequence of normal random variables (using the routines from boost C++ library). How fast would you expect the mean and the variance of the sequence converge to the actual variance? ...
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### Intuition behind Dvoretzky Kiefer Wolfowitz inequality

I've been reading about the Dvoretzky-Kiefer-Wolfowitz inequality, in the context of confidence bands on empirical distribution functions. I think I understand the inequality at face value: that the ...
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### Physical significance of heavy tail distributions

I have come across several usage of the term "heavy tail distributions", but unable to find some good resources in the Internet to answer few of my questions: Compared to what the tail of the ...
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### Empirical distribution alternative

BOUNTY: The full bounty will be awarded to someone who provides a reference to any published paper which uses or mentions the estimator $\tilde{F}$ below. Motivation: This section is probably not ...
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### Estimation of Density Function from a Transformed CDF [closed]

Suppose I can observe $x_1,...,x_n$ as the realization of the random variables $X_1,..,X_n$. Using $x_1,...,x_n$, I can estimate the empirical cumulative distribution function (CDF), ...
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### Defining Empirical Risk Minimization

I am reading Machine Learning - A probabilistic Perspective by Kevin Murphy and in chapter 6.5 the author discusses Empirical Risk Minimization, and provides the following definition: ...
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### Difference-in-difference with interaction terms

I am looking for an empirical paper that perform a difference-in-difference regression where the whole did regression (treated+post+post*treated) is interacted with a continuous variable (or a ...
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### Empirical coverage probabilities of confidence intervals

Can someone tell me how the type of distribution is related to an empirical coverage probability? (for some distributions the Central-limit-theorem seems to be more easily satisfied)
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### What are some illustrative applications of empirical likelihood?

I have heard of Owen's empirical likelihood, but until recently paid it no heed until I came across it in a paper of interest (Mengersen et al. 2012). In my efforts to understand it, I have gleaned ...
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### What is the proper way to estimate the CDF for a distribution from samples taken from that distribution?

Given $n$ samples from a (continuous) distribution X, the obvious thing to do is sort them, and distribute them equally across $[0,1]$ by taking $(x_{(k)}, (k-1/2)/n)$ as estimates of particular ...
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### How to present a empirical study when using econometric models?

I've got a (probably easy) question in how to handle empirical studies, when there are a lot of effects involved. I have a whole bunch of variables and I'd like to analyze just a few of them. But the ...
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### Which distribution to use with MCMC and empirical data?

In class, we've been learning a myriad of really interesting techniques to sample from a given distribution, filter online data, particle filters, etc. My issue is that when I take some real-world ...
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### How to use/interpret empirical distribution?

First of all I'd like to apologize for the vague title, I couldn't really formulate a better one just now, please feel free to change, or advice me to change, the title to make it better fit the core ...
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### Interpolating the empirical cumulative function

The empirical cumulative distribution function of a random variable, given observations $x_\left( k \right) > x_\left( k-1 \right)$, $k \in \mathbb N$, $k \le n$, is defined as \$F_{emp}(x_\left( k ...