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0
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1answer
31 views

Is $E[1_A | \mathscr{F_t}] = 0 ~\text{or} ~ 1 \ \Rightarrow E[1_A | \mathscr{F_{s}}] = E[1_A | \mathscr{F_t}]$ is only almost surely?

Spin-off from my previous question: Prove/Disprove $E[1_A | \mathscr{F_t}] = 0 ~\text{or} ~ 1 \ \Rightarrow E[1_A | \mathscr{F_{s}}] = E[1_A | \mathscr{F_t}]$ Apparently the conclusion holds true ...
2
votes
2answers
66 views

Why does a probability of 0 or 1 remain unchanged with new information, intuitively?

Related to these questions: Prove/Disprove $E[1_A | \mathscr{F_t}] = 0 ~\text{or} ~ 1 \ \Rightarrow E[1_A | \mathscr{F_{s}}] = E[1_A | \mathscr{F_t}]$ Does an unconditional probability of 1 or 0 ...
0
votes
1answer
43 views

Outlier filtering in 2D data in python

I have following data given: My curve fits it acceptable for my needs. I use here 4th degree polynomial. (data is limited to 0-100 percent range for both axis!) What I want to try now is to filter ...
3
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0answers
45 views

Cross correlation between 2 filtered time series

I have 2 band pass filtered time series for 30-90 day band I would like to understand the lagged correlation between these 2 series in this band. The issue is that autocorrelations exist in both ...
0
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0answers
27 views

Residual plot looks like inverted change plot for prediction model

I have a very big problem with my predictive model. What i essentially do is that I predict the volume in a tank by studying the flow into and out of the tank. I use the two flows to construct a ...
10
votes
1answer
274 views

Prove/Disprove $E[1_A | \mathscr{F_t}] = 0 ~\text{or} ~ 1 \ \Rightarrow E[1_A | \mathscr{F_{s}}] = E[1_A | \mathscr{F_t}]$

Prove/Disprove $E[1_A | \mathscr{F_t}] = 0 \ \text{or} \ 1 \ \text{a.s.} \ \Rightarrow E[1_A | \mathscr{F_{s}}] = E[1_A | \mathscr{F_t}] \ \text{a.s.}$ Given a filtered probability space $(\Omega, ...
0
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0answers
15 views

Determining “n” in moving averages

I'm monitoring seven variables (flow into tank, flow out of tank, volume in tank, concentration of the flow in, concentration of the flow out, concentration in tank and weight inside tank). The weight ...
3
votes
0answers
79 views

creating random variable with certain auto-correlation in R

I want to create a random variable with a given autocorrelation in R. The target autocorrelation is defined by: $$acf_{target}=(lag+1)^{(-b)}$$ with $b=1.41519$ which I derived from a natural ...
1
vote
1answer
96 views

Use tm_filter to search for multiple words

I´m new to R, so please bear with me. So, I know I can use the following to search for a word in several documents. ...
3
votes
1answer
54 views

What is the limiting distribution of the Bayesian Filtering

I've got a question about the iterative Bayesian filtering, the general form of which is shown as follows: $P(x|z_0,...z_{k+1})\propto P(z_{n+1}|x)P(x|z_0,...,z_k),\,k=0,1,\dots$. $P(x|z_0)=P_0(x)$ ...
1
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0answers
16 views

Where can I find good references regarding to noise filtering and prediction in time series?

I want to model the error structure of every certain time period obtained from the past errors produced by the predictions of nonlinear time series. I would like to know if someone knows specialized ...
1
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2answers
44 views

Online learning that “forgets” older aspects learned? (short-term memory)

I am looking for an online learning classifier that is highly adaptable and has only short-term memory. I need such a think in a object tracking system with high-dimensional feature vectors. Maybe a ...
0
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0answers
7 views

what is the difference between the ewma filter and mean filter

i have a sample and short question in which cases it is advantageous to use current and past informations such as ewma filter z=lamda*xi +(1-lamda)*xi-1 or to ...
0
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0answers
60 views

Peak heavy data filter

I am trying to replicate the motion of a measurement needle with a set radius crossing over a rough surface in order to measure the surface texture. How can I create a filter to replicate this motion ...
1
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0answers
74 views

First order condition of HP Filter

The HP Filters for growth and cyclical components is written as: $$\min_{g_t}\sum_t \left[(y_t-g_t)^2+\lambda\left[(g_{t+1}-g_t)-(g_t-g_{t-1})\right]^2\right].$$ Hodrick and Prescott, on their paper ...
2
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0answers
36 views

Hodrick-Prescott Filter, Time Series, SDE, and Ito Isometry

The background of this question is a paper written by Morten O.Ravn and Harald Uhlig, titled "On Adjusting The Hodrick-Prescott Filter For The Frequency of Observations" Consider the decomposition of ...
0
votes
1answer
31 views

How to perform a filtering to get the low, middle and high frequency components of an image?

I am currently looking into some image processing project and just wondering how to obtain the low, middle and high frequency components of an image? For example, as this picture showed (I got it ...
0
votes
1answer
71 views

Smoothing a particle filtered 2D trajectory

I am currently developing a very basic particle filter for a 2D robot localization task. My process is defined by a really simple velocity / steering angle based motion model. I am re-weighting the ...
1
vote
1answer
170 views

Linear discriminant analysis (Fisher) = Bayes?

I'd like to ask a question, I am reading book right now about mail filtering, both methods: naïve Bayes and Fisher are there very similar in implementation. I am also writing a paper on Bayesian spam ...
0
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0answers
17 views

Screening/Filter Method for classification problem

I have a data set with 100 variables. And the output is binary (case/control). What kind of method would be a good choice for screening variables at the beginning stage.
0
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0answers
22 views

Aggregating Equity Intraday Ticks

I am currently working with intraday equity data. The ticks are sourced from Bloomberg API. Bloomberg only timestamps down to the second (not millisecond) and data is not in order. In many instances ...
0
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0answers
52 views

Find repetitive patterns in matrices below

How can I identify the repetitive patterns from the matrices below? My problem is that the patterns in the matrix are different from matrix to matrix (dependent on the input data). I need some machine ...
4
votes
1answer
641 views

Beginner level: Help in learning Kalman Smoother (Part 1)

Parameter estimation of Linear Dynamical system is a tutorial which explains Kalman Filter, Smoothing, and Expectation Maximization. I have followed the derivation for Kalman Filter. But cannot ...
0
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0answers
26 views

filtering out information

I would like to filter out the effect of temperature among many variables that explain the electricity demand and produce temperature adjusted electricity demand. Can you suggest any way of doing ...
1
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0answers
42 views

Filtering noise in a data set

I'm trying to filter out noise from a Sonar. The idea is that the sonar in aimed upwards, after an object has come in it's range, I want to be able to tell if the object is moving away or coming ...
0
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0answers
13 views

Largest value in a set with a nearly equal distribution between value +/- 20%?

I am working through a data analysis task in a contract, and trying to build a generalized spreadsheet that can be used for this and similar analysis. I'm tripped up by a requested procedure, and ...
3
votes
1answer
56 views

Deriving the Bayes Filter Correction Equation

The correction rule for Bayes filters is: $$p\left(x_{k}|D_{k}\right)=\dfrac{p\left(y_{k}|x_{k}\right)\cdot p\left(x_{k}|D_{k-1}\right)}{p\left(y_{k}|D_{k-1}\right)} $$ For: State at time $k$ is ...
3
votes
1answer
129 views

How does backpropagation learn convolution filters?

I've understood how the backpropagation algorithm uses the partial derivatives of the weights to train a normal neural network. However, I cannot quite understand how the algorithm changes the ...
1
vote
0answers
82 views

Filtering of time series

I would like information (references) about the reason why time series should be filtered before being used in a VAR model. Thank you in advance, Nikos.
0
votes
0answers
17 views

How to fit raw signal

I think this is simple, but somehow it's not working. I'm trying to fit my raw data so that basically I end up with beautiful 1 peak. I tried butterworth filtering, Gaussian fitting, a combination of ...
0
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1answer
6k views

Filtering a dataframe in R based on multiple Conditions [closed]

I am new to using R. I am trying to figure out how to create a df from an existing df that excludes specific participants. For example I am looking to exclude Women over 40 with high bp. I have ...
0
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0answers
18 views

Forecasting the business cycle?

I am wondering what is the best way to forecast the business cycle based on the past. Currently I feed the seasonally-adjusted GDP index data to a Hodrick–Prescott filter, extract the cyclical ...
1
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0answers
70 views

How can I smooth a set of discrete data points for the purpose of schedule planning?

Disclaimer: I do not have a background in statistics or the math behind filtering, save one long-time-ago college course. I have a well defined problem space. I am calculating hourly staffing ...
0
votes
1answer
162 views

What statistical method to correct systematic error in the output of a economic optimization model?

I am working with an economic optimization model which attempts to model the dynamics of a certain commodity market (prices, quantities, production etc.) for different frequencies (monthly, quarterly, ...
1
vote
1answer
356 views

Filtering using a SARIMA model in R

I am not an expert in statistics, but I would like to work on a SARIMAX model representing power consumption. The exogeneous variable would be the temperature, but for now I found here I might need to ...
2
votes
1answer
150 views

Matrix Factorization Recommendation Systems with Only “Like” Ratings

I'm trying to build a recommendation system, but I only have data on what my users have "liked", i.e. all non-missing data has the same numeric value. Is it possible for me to use matrix ...
0
votes
1answer
124 views

Heteroscedasticity filter for time series

I am looking for a method or package in R that can remove heteroscedasticity from time series. Specifically, I have a number of time series to which I want to fit a VAR model. Each time series may or ...
2
votes
1answer
120 views

What does “AR(p) filtered series” mean?

I guess this means that omitting some variables in a certain interval, say, $(x_1, x_2, x_3, x_4, x_5) \to (x_1, x_5)$ in AR(4) model. Is it right? Or does this means eliminating autocorrelations ...
1
vote
2answers
105 views

Does filtering of data by effect size violate some assumption of P value adjustment methods?

I have pre- and post-treatment continuous data for a large number of variables that I am analyzing for treatment effect. Normally I would obtain the P values and then adjust them for multiple testing ...
0
votes
1answer
87 views

Content-control (web filtering) using machine learning

I'm trying to build a content-control (web filtering) application using machine learning (just for training purposes). For example define gaming sites. I'm somewhat familiar with machine learning ...
1
vote
1answer
138 views

What is a density function?

I know about histograms and also know that if we connect the mid-points on the top of bars in a histogram we will get a frequency polygon. This polygon could then be 'smoothed' in a way that it ...
1
vote
0answers
94 views

Filtering with HMM

I want to use HMM for filtering, i.e. to find $p(x_t|y_{1:t})$. I see that the forward algorithm calculates the forward variable as a joint probability; $\alpha_t(i) = p(y_{1:t},x_t=S_i|\lambda)$, ...
0
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0answers
34 views

filtering discrete data

I looking for good ways to estimate a true state of the system from a set of observations, that take several integer values. E.g. I have an sequence of observations X_i of the unknown variable Y. Both ...
1
vote
1answer
380 views

Moving average filter for outlier removal

I am using a moving average filter to smooth data for outlier removal. By changing the number of average points, I am getting different result. My data are multi-dimensional feature vectors. I ...
1
vote
0answers
256 views

Band pass filter giving ‘wrong’ turning point

I am trying to run a Christiano FitzGerald band pass filter to estimate a long-run trend (with period in excess of 70 years). My data are the demeaned natural log of a commodity price index. My ...
3
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0answers
78 views

How to extract uniform noise from the mixture distribution

Let $X$ be a sample from the distribution which is the mixture of the useful signal with the distribution $\xi(\theta)$ and a uniform noise $U[a, b]$. The probability of observing $U[a, b]$, the ...
1
vote
1answer
73 views

What is the difference between a one-sided filter and a two-sided filter when looking at time series analysis?

I'm looking to understand the difference between the two and grasp in which situations each might be preferred over the other.
1
vote
2answers
224 views

Smoothing algorithm for saturating function

I have a noisy readout of a curve that is monotonically increasing or decreasing for a narrow range of points and then quickly saturates. I don't know exactly where the saturation point is, but from ...
2
votes
2answers
82 views

Method to remove bad values in time series (bad values known to take on a particular value)

This sounds easy, but I don't know of a good statistical method for it. I have a time series that has (good) data points that range from ~3.5 to 30. The data are collected by an automated sensor. ...
1
vote
1answer
317 views

Non-causal of variable threshold algorithm

I'm not entirely sure this question belongs here. (Maybe better suited on stackoverflow or theoretical computer science). But here it goes. I'm reading a paper called. "Time-Frequency Analysis of ...