Refers to the standard deviation of the sampling distribution of a statistic calculated from a sample. Standard errors are often required when forming confidence intervals or testing hypotheses about the population from which the statistic was sampled.

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44 views

cross-validation: what is the standard deviation if the same value is obtained for each fold?

Here is a detailed imaginary example: I am using 5-fold cross-validation to estimate the generalization MSE of my predictive model. When I hold-out fold number 1, which contains 10 observations, say ...
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17 views

Strange equation for standard error of estimate calculation

I've come across the following algorithm to calculate the standard error of estimate (residual standard error): RSE=SQRT( (sum(Y^2)-b0*sum(Y)-b1*sum(XY))/(count-df) ) I have searched high and low ...
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0answers
22 views

Specifying integration level of time series

How to specify the level of integration of $X_t$ in such case? I am familiar with testing integration in R, cointegration strategies, but which method to use in such case? In brackets there are ...
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1answer
35 views

Computing standard error of mean derived from multiple samples

I've had trouble finding a clear answer elsewhere on the internet and thought I'd put it to the XV community. Problem Description Suppose I have $N$ samples, each on a different subject. Each sample ...
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1answer
50 views

Are the parameters of Non-linear regression independent of each other?

I'm propagating error in the parameters determined by the following growth function... $$ \hat{y} = ae^\frac{t}{b} + (1- a)e^\frac{t}{c} $$ Say I have another model that uses the parameters {a,b,c} ...
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2answers
89 views

Why is there a need for a 'sampling distribution' to find confidence intervals?

I understand the key principles behind confidence intervals, but there's something I want a bit of clarification on. Let's say I have a basket of apples that I picked at the orchard. The weight is ...
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1answer
22 views

Is it necessary to report standard errors with marginal effects?

I've run a probit regression in R with a random effect and can find no way to get the marginal effects with s.e. and p values. I have therefore tried to calculate the marginal effects 'by hand' by ...
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1answer
24 views

Confidence interval for expected prediction error from cross-validation

I am using a support vector machine for binary classification on a sample of size 150 (75 of each class). I am using 5-fold stratified cross-validation to estimate the expected prediction error, i.e. ...
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1answer
23 views

Marginal Effects and Standard Errors in R for probit model

I ran a probit regression using the following code: m1<-glmer(Success~Name.Origin+(1|Job.ID),family=binomial(link="probit")) However, I am now unsure how ...
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2answers
178 views

Why are there huge differences in the SEs from binomial & linear regression?

I have data from a simple experiments where people put (a fixed number of) balls either to the left or to the right of them (each ball is just the same with regards to consequences of putting them to ...
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0answers
7 views

Standard Error of ARPDAU

Short version: What is the ARPDAU standard error of a mobile game? Long Version: I have a mobile game and I'm tracking the ARPDAU (Average Revenue per User). $$ARPDAU_i = \frac{Total ...
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21 views

Percent Change of Averages - Statistically significant testing and Standard Error

I have several different experimental conditions and for each condition I measure a value at Day 0, 4, 8, 12, and 16. (Control N=15, Condition 1 N=8, Condition 2 N=4...etc.) Given that the starting ...
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14 views

Error of long-term volatility forecast

I am not a specialist statistician (although many years ago I did study maths at university). I am trying to calculate the error of a long-term volatility forecast of a time series and have got a bit ...
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1answer
49 views

What is the standard error of the mean of multivariate normal distribution?

Assume that the non-diagonal elements of the covariance matrix are not zero. Please provide a closed form formula. I'm interested in the bivariate case in particular. How does the formula simplify in ...
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1answer
46 views

How do you calculate the standard deviation and error for a difference between two different means?

I have 40 people that I measure at baseline, getting their mean level of X at time zero. I also calculate the standard deviation and standard error of the mean of X. Then after 100 days I measure ...
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1answer
38 views

Overlapping standard errors and statistical significance

I have a paired data set which I have placed into $x$ and $y$ columns where $x$ are the control values and $y$ are the values following drug treatment. $N=10$ for both $x$ and $y$ columns as they are ...
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1answer
29 views

Standard Error for Sum

I am designing an algorithm for a stratified sampling on a population and then I want to find out what is the error bound for 95% confidence interval, for different sample statistic such as sum of the ...
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0answers
29 views

Standard Error of estimate of variance

I am not understanding how is the standard error of estimates of two-factor factorial random effect model calculated ? For example , In the book Design and Analysis of Experiments , by Douglas C. ...
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3answers
130 views

Standard error clustering under treatment assignment in groups of varying size

Basic setup: Unit of observation is the individual. Treatment (binary) is assigned on city level. Every state contains 4 cities, 2 get randomly chosen for treatment, 2 control. There are only few ...
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1answer
40 views

Standard Error for sum of two coefficients from separate regressions

I have two SEPARATE regressions (I don't know if they are "seemingly unrelated" or not): $Y_1 = b_1*X_1 + e_1 $ $Y_2 = b_2*X_2 + e_2$ I create a variable $c=a*b_1 + b_2$ . How do I find the ...
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0answers
16 views

How to consider propagated measurement errors and “statistical errors”

I come from an Engineering background, and I am familiar with some basics of error treatment. However, discussing with a friend over some data he had to analyze, we couldn't quite figure out what to ...
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1answer
21 views

Propensity score stratification: standard errors and p-values

While there are many tutorials on how to perform propensity score stratification, I was unable to find any example that showed the calculation of standard errors and p-values for the final estimate. ...
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11 views

standard error in two related linear regressions

I am new to constrained linear regressions and I was wondering the following: If I have two sample $n_1=10,000$ and $n_2=100$ which were measured on variable $y$. $n_1$ was only measured on the ...
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43 views

Standard deviation of sampling distribution of mean

If we take a sample and calculate the mean, we can calculate the standard deviation for the sampling distribution of the mean using this formula: $\sigma / \sqrt{n}$ But, how many samples do we need ...
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50 views

Relation between AR(1) and Vasicek model

The discrete time version of a Vasicek model is equivalent to an AR(1) model with opportunely chosen parameters, as showed in this paper: http://www.damianobrigo.it/toolboxweb.pdf. Following this ...
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4answers
71 views

How to plot algorithm runtime for huge input set?

Fo my bachelor thesis, I want to compare the runtime of two algorithms. The runtime is measured by letting these algorithms run for every value in a huge input set. This input set can be partitioned ...
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15 views

Mean of sample means from samples of different variances

Suppose I have three samples $x_i \sim \mathcal{N}(\mu, \sigma_b^2)$. I cannot measure the $x_i$ directly, so instead I estimate the value of each one by averaging $n_i$ draws from a distribution ...
3
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2answers
153 views

meaning of different SD formulas for cross-validation result

I am using cross-validation to estimate the prediction error of my model. I am using a metric M to measure this prediction error. Using 10-fold CV, I obtain the value of the metric M for each fold. ...
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0answers
17 views

Standard Error of dependent variable

I am estimating a regression where a variable depends on several lags of another variable, which represents some kind of shock. I have the mean and standard error of each of these lags, but I need to ...
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1answer
22 views

How to calculate standard error between means?

I would like to calculate what is $SE(\hat{x}-\hat{y})$ where $\hat{x}$ is the mean of the first sample and $\hat{y}$ is the mean of the second sample. I know the answer should come out as ...
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1answer
37 views

Usage of Plus-minus sign

I have a question concerning statistical conventions. I want to report the classification rate of a 3-fold cross validated machine learning experiment. Of course I report the mean and some measure of ...
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2answers
36 views

Average standard error

I have several measurements from the same population spanning over the course of several years, each year with its own mean and standard error (based on the same replicates at same location each ...
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0answers
32 views

How to calculate the SE of correlation from the covariance matrix in R?

If $\rho_{_X,_Y}=\frac{Cov(X,Y)}{\sigma_X\sigma_Y}$ is correlation between $X$ and $Y$. What is the Standard Error (SE) of $\rho_{_X,_Y}$? For example if: $\sigma_{_X}$ = 0.88, $\sigma_{_Y}$ = 0.44, ...
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1answer
65 views

Properly calculate mean and SE for meta-analysis

I want to perform a meta-analysis, for which I have data from 30 different experiments, each of them with two different treatments. I have three different types experiments based on how the data are ...
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0answers
12 views

Random Variable Decomposition Standard Error

I have a decomposed random variable $X$ into partitions $A_1,A_2,\dots A_m$. I know how to compute the expected value of X and the variance of X given the variance and the standard errors of $X$ ...
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0answers
33 views

Inverse probability weighting (IPW): standard errors after weighting observations

When using propensity scores for inverse probability weighting (IPW) the standard errors for the parameters in the regression model may be affected. I have seen several examples of people using ...
3
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1answer
81 views

How to calculate the standard error of a proportion using weighted data?

I know the "textbook" estimate of the standard error of a proportion is $SE=\sqrt{\frac{p(1-p)}{n}}$, but does this hold up when the data are weighted?
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1answer
42 views

Joint inclusion probability for Horvitz–Thompson estimator

There is a Wikipedia page for the Horvitz–Thompson estimator. It is an estimator for the population total. Unfortunately the page has failed to state the standard error. From here, the standard ...
3
votes
1answer
75 views

How to convert the standard error of the log odds ratio to the odds ratio standard error

I am using the log odds ratio (and its standard error) for meta-analysis. I want to convert back to odds ratio to write up the results... maybe i'm putting in the wrong search terms but can't find ...
4
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2answers
92 views

What is the standard error of the inverse of a known odds ratio?

I have an Odds Ratio of a:b ($OR_{ab}$) and I can switch it to the Odds Ratio of b:a by taking the inverse. $$OR_{ba}=1/OR_{ab}$$ I know the standard error of the original odds ratio ($SE_{ab}$). ...
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3answers
83 views

How to calculate SE of an odds ratio

If one is calculating odds ratio with a,b,c and d counts, I believe variance of log(OR) is given by var_log_OR = (1/a + 1/b + 1/c + 1/d) Hence one can calculate ...
4
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1answer
83 views

What is the standard error of the sample standard deviation?

I read from there that the standard error of the sample variance is $$SE_{s^2} = \sqrt{\frac{2 \sigma^4}{N-1}}$$ What is the standard error of the sample standard deviation? I'd be tempted to guess ...
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0answers
20 views

Calculate parameter standard errors when using E-M algorithm?

When using the E-M algorithm, how can we get standard errors for estimated parameters? If we were just maximizing log-likelihood, then hessian=-observed information, then we can get variance from ...
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0answers
26 views

Standard errors for population rates based on survey data

I have survey data that includes a random sample of emergency rooms in the United States. Each observation has a sampling weight that allows me to estimate the number of cases for a particular ...
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0answers
19 views

Standard error of a ratio of differences of estimates

I am interested in calculating the standard error of a ratio of differences of estimates, like so: $SE(\frac{X_2-X_1}{Y_2-Y_1})$ The s.e. of each difference is easy, ...
3
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0answers
9 views

Geometric Mean Standard Error [duplicate]

I read from wikipedia that the geometric standard deviation is $$\sigma_g = \text{exp}\left( \sqrt{\frac{\sum_{i=1}^n\left(\frac{A_i}{\mu_g}\right)^2}{n}}\right)\,, $$ where $\mu_g$ is the geometric ...
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41 views

t statistic for regression model with (possible) autocorrelation and heteroscelasticity

Looking at other questions at CrossValidated helped me so many times over the last weeks - so thank you guys! However for this question I was unable to find an answer or at least wasn't sure if ...
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0answers
22 views

Error bars for the fraction of two samples

I have two samples, lets say sampleA and sampleB. I have used jackknife resampling and obtained the error bars for each of the ...
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49 views

Correct Sample Size N in a Relative A/B Test with Binomial Variates

I randomly assign users to two distinct groups and track their return rate to the website (the return rate on each day for each group is simply $\frac{Number Of ReturningUsers}{TotalUsersOnDayZero}$). ...
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43 views

Confidence Versus Prediction Intervals using Quantile Regression / Quantile Loss Function

If you fit a quantile regression for the 5th and 95th percentile this is often described as an estimate of a 90% prediction interval. This is the most prevalent it seems in the machine learning domain ...