Tagged Questions

Multivariate refers to analyses where there is >1 response / dependent variable of interest in the statistical analysis. This can be contrasted w/ *multivariable* analyses, which typically implies >1 predictor / independent variable.

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Portfolio VaR with Copula?

Let the portfolio be given by: $$X=X_1+X_2$$ $(X_1,X_2)$ are dependent through a Copula function $C(u_1,u_2)$, such that the joint distribution is given by: $$F(x_1,x_2)=C(F(x_1),F(x_2))$$ What is ...
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24 views

Multiple, multiple regressions?

I have done a study on whether personality and demographics predict interaction on Facebook brand pages. I have used a Big five personality scale and the demographics include, sex, age, marital ...
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10 views

Support vector regression in weka

I am using SVR for statistical down-scaling of precipitation. I have taken the first 3 factor scores in principal component analysis of variables as predictors and precipitation as predictand. As ...
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1answer
21 views

Multivariate normal with singular covariance

I'm an undergraduate student. I read about multivariate normal distribution in hogg and craig. And i wonder why the covariance is allowed to be positive SEMI-definite. I read this Normal distribution ...
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1answer
18 views

Multivariate nonparametric divergence (or distance) between distributions

For example, we could say I have two fruit classes (oranges and apples) and for each one I measured different statistics of interest, for example: width, height, sugar, water... of a lot of fruit ...
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1answer
33 views

Time series modelling

Here is my problem: I basically have 20 or so variables (I have 1000 of these values over an increasing time axis). I want to calculate the weights of these input variables. I am going to try Linear ...
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1answer
47 views

ANOVA or ANCOVA

I have to analyze a study where 2 treatments (t1 and t2) were used to control blood sugar levels. The 't2' is a new treatment which is being compared with an old established treatment 't1'. I have a ...
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1answer
23 views

How to transform non-Gaussian multivariate time series

I wish to apply a VAR-like kind of model to a multivariate time series dataset. The model assumes that $X_t | X_{t-1} \sim \mathcal{N}(\Gamma X_{t-1},\Omega)$ for $X_t \in \mathbb{R}^p$. I want to ...
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13 views

Built a n-variate distribution with given correlations and specific marginal distributions

I want to built a $n-$variate density with the constrains that all the marginals must be the same (i know the marginal distribution) and the correlation between the component $i^{th}$ and $j^{th}$ of ...
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34 views

variable error on logistic regression/ proc catmod- Building predictive model

I am using logistic regression to fit a model with categorical/multinomial varaibles. data-description: There are over 300 variables as independent variables, sample size is 5000 which is divided into ...
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1answer
10 views

Bivariate sampling for distribution expressed in Sklar's copula theorem?

In the univariate case, one can easily sample a distribution via random numbers $u\sim[0,1]$ and plugging into $F^{-1}(u)$. I have a bivariate distribution constructed via Sklar's theorem on Copulas: ...
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19 views

Understanding / Interpreting VARselect function in R

Atm I am playing around with VAR-Models and I was asking myself how to properly use the VARselect function. My question is the following: What should I give R as y? In the Help it just states "Data ...
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27 views

a/b tests show strange results. Can the results tell if the test method has bugs/issues?

I'm running a/b test on an ecommerce website. The current stats look like this: The problem is that the 'rule' does nothing. so basically the two groups should be identical. The selection of ...
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1answer
33 views

Exploring dependencies between variables in log-linear models

Hi there I'm using R to perform some multivariate data analysis on health data. I'm currently using the glm() function with ...
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13 views

Dealing with covariate*predictor interactions

I have one DV, four IV and 4 covariates. The assumptions to do the traditional ANCOVA are not met, therefore I am including the interactions predictor*covariate (1 to 4) in my model. My covariates are ...
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1answer
37 views

Correlated random draws with graph structured correlation

I have a problem where I have a graph structure, such that some nodes are connected to other nodes i.e. we have an adjacency matrix of size n*n with a 1 corresponding to a connection and 0 otherwise. ...
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12 views

How to find the pdf in higher dimension

I have a time series output $Z = X - Y$ where the dimension $d$ of $Z$ is 1D. I don't know what process generated the signals $X,Y$. All I have information is that $X$ is corrupted with additive ...
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1answer
24 views

Determine whether something is “significantly maximal”

The problem: I have a measure $D_i$ that quantifies how well a single target "feature" can be predicted from a set of (other) features $i$ (similar to an AUC). $D_i$ is computed based on a set of $n$ ...
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46 views

Multivariate outlier detection for PLS model

I am working with a PLS model (library pls) in R, where I am developing calibration models for NIRS data. I have been using other commercial software before that allowed me to detect outliers based on ...
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45 views

Multivariate normal distribution

I am not able to figure out how to derive this.Kindly explain this step.
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9 views

SAS and Eigenvectors of SSE^-1*SSH

I'm in my Multivariate Analysis class and I'm having a few difficulties with coding in SAS. Would anyone be able to point me in the right direction to where I can get help with calculating the ...
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1answer
41 views

MANOVA when sample size is smaller than the number of DVs

I need to compare $16$ quantitative variables, measured for two groups, A and B. I thought of applying MANOVA. However, there are only $4$ and $9$ cases for groups A and B respectively. I looked for ...
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10 views

Event level driven response modeling

I am investigating operational and maintenance data for a fielded system. There is a year worth of data. The operational data has been reduced to fault indications, which are triggered when ...
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1answer
55 views

Get correlation matrix of 3 variables from any combination of 3 simples/partials

Here is the situation. (This is not a homework problem.) I am writing a program that does Cool And Interesting Things starting with a correlation matrix among 3 variables: call them $X$, $Y$, and ...
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17 views

partial RV coefficient

I'm interested in finding the correlation between two rectangular matrices, partialing out a third, all the same size and dimension (2). The best thing I've found so far is RV-coefficient ...
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9 views

Multiple binary dependent variables

I want to model multiple binary outcomes with some predictors. Does MANOVA can handle this or is there any other techniques I can use? Thanks !!!
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Computational complexity gaussian continuos hidden markov model

As I know, the continuos Hidden Markov model does not use the emission probability matrix $B$ but obtains the probabilities of being of a given state by a gaussian (univariate or multivariate) pdf ...
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How to model dynamic relationships in panel data when units exhibit heterogeneous variance

So I'm taking a look at a dataset of about 200 individuals, each with a number of variables measured 50 times longitudinally. A lot of these variables are subjective, and scored on a scale of 0-100, ...
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1answer
32 views

Cannot perform tests for multivariate normality. Is my data set too large?

I'm examining the performance of quadratic and linear discriminant models at classification. My dataset has 250,000 observations, 2 groups and 30 explanatory variables. I thought it would be worth ...
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26 views

What do I use to describe the difference between two groups in terms of found latent variables

I need to describe what the difference between two groups (patients and normal controls) consists of in terms of latent variables that I can describe within each group. For instance, given this PCA ...
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1answer
53 views

Multivariate hypergeometric distribution in R

Say I have a bag of colored marbles. This bag contains 30 marbles, 2 of which are red, 3 are green and the rest are blue. I am now randomly drawing 5 marbles out of this bag, without replacement. I ...
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46 views

Identifying multivariate outliers in a large sample with missing data, using SPSS

I'm a psychology PhD student doing analysis on a relatively large set of data, obtained via online surveys. The purpose of the study is largely to determine normative data for a population of adults, ...
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1answer
130 views

Example of two *correlated* normal variables whose sum is not normal

I am aware of some nice examples of pairs of correlated random variables which are marginally normal but not jointly normal. See this answer by Dilip Sarwate, and this one by Cardinal. I am also ...
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22 views

How to CORRECT un-reliable and un-stability in the prediction results

Currently, I meet such questions when building Random Forest model using my data set. My full data set: X_lab: 839 * 469 and y_lab: 839 * 1 which is for all labelled data and X_unl: 20346 * 469 which ...
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Find the Distribution of a Function of a Multivariate Normal

I'm having trouble with the following question. Suppose $X \sim N(\mu, \Sigma)$, where $\mu \in \mathbb{R}^k$. Let $Y= AX +b$, where $A$ is an $n \times k$ matrix of constants and $b$ is an $n$ ...
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Conditions on ratio of $\frac{\sigma_{BIB}^2}{\sigma_{RB}^2}$

I'm attempting to solve a question about the variances of random block design versus balanced incomplete block design. I feel I am close to having an answer, but I'm not quite there yet. Question: ...
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2answers
66 views

Affine equivariance and consistency

Denote $$\pmb x_i\sim\mbox{Ell}(\pmb 0,\pmb\varSigma)|i=1,\ldots,n$$ with $\pmb\varSigma$ symmetric positive definite and $\mbox{Ell}(\pmb 0,\pmb\varSigma)$ denotes a $p$ variate elliptical ...
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understanding MRT (package::MVPARTwrap) output

who can help me understand a MRT output (relevant parts see below) in R. I'm analysing a dataset with over 300 predator stomachs (between 1980 and 2012), we found roughly 30 fish species of which one ...
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1answer
57 views

Multivariate Time Series Forecasting in R - data in 10 minute intervals

I have data where an observation was made in 10 minute intervals for 8 weeks. I have around 170 variables that were measured every 10 minutes. I am trying to use multivariate time series analysis to ...
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39 views

Fitting Multivariate Bernoulli distribution

I want to fit a model to a number of observations, each of them being a k-dimensional binary vector $(x_1, x_2, ..., x_k)$ where $x_i \in \{0,1\}$. Naturally I would like to fit a multivariate ...
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1answer
33 views

A/B/C Testing - Aggregate data for comparison?

Let's say I have 3 ads: A, B and C. These ads perform as follows- ...
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1answer
65 views

Do I always need to log transform my data to do a canonical correspondence analysis?

I have species relative abundance data (as percentages) and several environmental parameters- and I have done normality tests on my data and it all seems to be normally distributed, but do I need to ...
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Adjusting for a mediator to capture cross sectional relationship

We are fitting a linear model using cross-sectional data to inspect the relationship between some exposure and an outcome (disease status, measured continuously). Duration of disease was also captured ...
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0answers
21 views

Multivariate Statistics

How to plot an ellipse from eigenvalues and eigenvectors for [ 5 4 4 5]. I know eigenvalues are 9 and 1 and eigenvectors are (0.5,0.5) ...
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2answers
18 views

Large difference in number of cases in each category of a variable

I want to run an analysis on a data set. However, the primary predictor variable (5 point scale) varies greatly in size of each group. I plan to create a dichotomous variable from these 5 category. ...
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0answers
42 views

Multivariate Multiple Logistic Regression in R

I have several dependent and independent variables. All my dependent variables are binary, therefore, I want to perform a multivariate multiple logistic regression, is that possible to do in R?
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0answers
24 views

Multivariate regression with 3 dependent variables and only 1 independent variable?

I need to compare the marginal effect of one independent variable (X) in 3 different dependent variables (Y). I did a multivariate regression using Stata commands manova and mvreg, but I am doubting ...
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2answers
67 views

What is the name of this type of tree / graph / representation?

I have come across a tree like way to organize variables and I wonder if anybody knows the name. A colleague thinks it has a "Japanese sounding name" (sorry by no mean I wish to be derogatory). So ...
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1answer
25 views

Multivariate stats

I have the following data to analyse and not sure what the best method would be. I have percent coverage data for several invasive plant species. as well as several variables including different land ...
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45 views

Find the median individual with observations on multiple variables over time

I have a question regarding the use of median. We collected data concerning disease development on hosts. We gathered the evolution of three variables over time on individuals. Their characteristics: ...