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Minimum dimension of sufficient statistics

Suppose that we have a parameter of k-dimensions. Say, for example, for normal (u,theta) both unknown then the parameter is of two dimensions, and n i.i.d. observations. Is it possible to find a ...
8
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2answers
212 views

Non-normal distributions with zero skewness and zero excess kurtosis?

Mostly theoretical question. Are there any examples of non-normal distributions that has first four moment equal to those of normal? Could they exist in theory?
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15 views

What class of functions can be covered by beta functions in Bayesian statistics?

I was thinking about Bayesian statistics, and one thought bothered me: In Bayesian statistics, we assume that the pdf $p(x)$ can be described as: $p(x)=\int f(x|\theta)g(\theta)d\theta$ usually ...
2
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2answers
63 views

Performing k-means clustering on a set of lines

I have a set of lines (y = numbers between 1 and 100, x= discrete) that I am trying to cluster to group similarly-shaped profiles. I have found that the profiles seem to cluster the cleanest when ...
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0answers
24 views

Term importance from document with predefined weight

I am having a set of document with different value weight on them. I am trying to understand which term from the documents trigger the highest values. I have a theory on how to do it and I would like ...
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0answers
45 views

Generalization error of PCA and kernel PCA

I've been recently reading Shawe-Taylor et al. 2005, On the Eigenspectrum of the Gram Matrix and the Generalization Error of Kernel PCA, where the authors analyze the squared residual of kernel ...
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0answers
35 views

What is the VC Dimension of a Naive Bayes Classifier?

How do you calculate the VC dimension of a Naive Bayes classifier with say K features?
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37 views

Sample lower bound for binary classification in Linear Discriminant Analysis?

Below is a description of this problem: Suppose the label $Y\in\{1,0\}$ in binary classification satisfies $\Pr[Y=1]=\Pr[Y=0]=\frac{1}{2}$, and $p(X|Y=1)=\mathcal{N}(\mu_1,\Sigma)$, ...
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17 views

Information matrix at Wald statistic

AFAIK, the Wald statistic of ML estimator uses the limit normality of MLE, and it looks as: assume to test $H_0 : \theta = \theta_0$ $T = (\hat{\theta} - \theta_0)' (I(\theta_0))^{-1} (\hat{\theta} ...
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60 views

MECE statistics

Consider a sample of a real quantity $X$. Say that we divide this sample into two mutually exclusive and collectively exhaustive (MECE) groups. Say we know the mean and median of these two groups, ...
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0answers
31 views

Are complete sufficient statistics unique?

I'm under the impression that up to a one-to-one function complete sufficient statistics are unique. How can I show this?
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0answers
17 views

Estimate total number of errors from a sample of independent error probabilities

I have a dataset in which I have linked clients by their name and date of birth. I want to estimate the number of errors this will create, i.e. the number of times I will incorrectly assign as 1 ...
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22 views

To be significant or to be stabile, what's more scientfically important?

Recently I discovered the techniques related to cross validation. Basically you can split up your data in n groups and then run your model on one part of the data and assess prediction reliability on ...
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1answer
138 views

Estimating $R^2$ when some coefficients are forced (i.e., restricted coefficients)

I am running a regression in R, and wanted to find the right way to calculate the $R^2$. I have an identity that I am empirically testing with data that is y = x1 - x2 + x3 (unfortunately dont have an ...
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0answers
292 views

What is the definition of generalization error and its justification?

I was trying to understand rigorously what the goal of machine learning is. One could frame that one of the central goals of machine learning is to obtain the best possible function ever. But what ...
3
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0answers
39 views

Diferrencing vs Moving Average

Moving Average and differencing a series can both be used to remove seasonality. Does the difference of these two lie in the model they are used? Moving Average used in classical decomposition and ...
0
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1answer
67 views

Forecast error for AR and MA process

AR(p) process is denoted by: $X_t=\mu+\alpha_1(X_{t-1}-\mu)+\alpha_2(X_{t-2}-\mu)+...\alpha_p(X_{t-p}-\mu)+Z_t$ I don't understand forecast error. Let $\epsilon_{t+l}$ be the forecast error at $l$ ...
1
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2answers
253 views

SARIMA model equation

Can someone please tell me in the book here how is this SARIMA equation obtained? I know that AR(1)=$Y_t=\alpha_1Y_{t-1}+e_t$ Non Seasonal AR(1)=> $Y_t(1-\alpha_1B)=e_t$. My question is what ...
5
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3answers
139 views

What makes constant function an estimator?

This is a theoretical one. This question is inspired by recent question and discussion on bootstrap, where a constant estimator, i.e. a constant function $$f(x) = \lambda$$ was used as an example of ...
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0answers
13 views

Recaculating control limits when an out of control situation is displayed

When plotting control charts if a point plots outside the control limits then the reason for that point to plot outside is checked and if an assignable cause is found to be the cause then after ...
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0answers
22 views

Changing a target value that minimize the product being outside the specifications in quality control

I was doing problems in the article here. In the question on page 16 I don't understand part b) how to find a target value that minimize the product being outside the specifications. Can someone ...
1
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1answer
70 views

Distribution of Minimum of RVs

I'm having trouble seeing why for RVs $X_{1}, \ldots, X_{n}$ it is true that: $$Pr(min(X_{1}, \ldots, X_{n}) > x ) = Pr(X_{1} > x, \ldots, X_{n} > x)$$ In other words: Why is the event that ...
5
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1answer
197 views

Justifying and choosing a proper scoring rule

Most resources on proper scoring rules mention a number of different scoring rules like log-loss, Brier score or spherical scoring. However, they often don't give much guidance on the differences ...
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0answers
35 views

How to determine if a U chart or a C chart to be used

This is regarding theory of attribute type control charts.In a question it is given data for the number of non confirmities per 1000 meters of wire. I have to calculate control limits for a ...
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0answers
22 views

Calculating $\bar c $ in C chart

In studying C chart I came accross this problem in Statistical Process control by Douglas .C.Montgomary. In this exercise it says: A control chart is used to control the fraction of non ...
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0answers
20 views

Area of Opportunity in C chart and U chart

In the article whether to use C chart of U chart is determined by area of opportunity.But I don't understand what is meant by area of opportunity and how it relates to C chart and U chart.Can ...
0
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1answer
96 views

Auto correlation function of AR(p) process

I am doing a time series course and in the theory part there are few things I don't understand.In obtaining auto correlation function for AR(p) process it is done as: AR(p)=$X_t = α_1X_{t−1} + ...
3
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0answers
49 views

Is there a way to visualize what “Minimal sufficiency” and “Completeness” of a statistic means?

As defined (for example, in Wikipedia): Completeness is a property of a statistic in relation to a model for a set of observed data. In essence, it is a condition which ensures that the parameters of ...
2
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1answer
54 views

Control limits in $\bar{x}$ and R chart

I am learning a Quality Control course and in theory part I don't understand calculating the control limits for $\bar{x}$ and R chart.I want to know, say when I calculate the R chart control limits no ...
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1answer
65 views

Definition of Scale median

Lehmann, in Theory of Point Estimation p.212 (and also on p.169), defines scale median as the solution to: $${E(X)I(X\le c)} = {E(X)I(X\ge c)}$$ given $X$ is a positive random variable, and ...
0
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0answers
28 views

Regression using a priori knowledge

I am sorry if the title (and probably the question) is not very clear but I have a regression problem which might be a bit over my head if I want to do it well. I am only interested in getting some ...
3
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2answers
78 views

Why are econometric analyses valid when the subject of study is inherently different?

I am reading numerous articles pertaining to unemployment as references for my own work. Yet I've encountered many where they use long time series in countries which have had some sort of pertinent ...
0
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1answer
75 views

Ensemble in stochastic process

I am learning a time series and forecasting course.In the book "The Analysis of Time Series by Chris Chatfield" it says that We only have single outcome of the process and a single observation on ...
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38 views

Statistical learning theory

I am looking for some good books for statistical learning theory. For an introduction I went through "An elementary introduction statistical learning theory Kulakrani" It was a good read with less ...
1
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1answer
58 views

Requirements for a valid neural network activation function?

What rules define a valid neural network activation function, excluding biological plausibility? What set of principles do softmax, rectified linear units, hyperbolic tangent, sigmoid, etc. follow? ...
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0answers
45 views

Polling vs averaging in Random Forest models

Why is it that for Random Forest we take the average vote from each classifier in the ensemble rather than the average probability from each classifier in the ensemble? Is there theory behind why ...
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0answers
29 views

Linear-time approximation to kernel SVM?

Scaling kernel support vector machines to large datasets is a very challenging problem. For linear SVMs, PEGASOS is able to learn efficiently online, so training time scales linearly with the size of ...
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0answers
13 views

Intuition for uniform integrability as asymptotic light tails

I am trying to get an intuition to the concept of uniform integrability: $$ \lim_m \sup\lim_n \mathbb{E}[|X_n| I_{\{X_n \geq m \}}] \to 0 $$ Can this be seen as a form of "asymptotic light tails"? ...
2
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1answer
120 views

Logistic regression & categorical explanatory variables

I'd like to perform logistic regression with some categorical explanatory variables with more categories than just binary 0/1. Is this possible and why? I am inclined to think that this would give ...
3
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0answers
49 views

Formalizing pdf using both discrete and continuous densities

I'm trying to formalize the probability density function for a rather simple process, but I'm having difficulty writing it precisely. Specifically, consider simulating a 1-D Gaussian random walk ...
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0answers
39 views

Most Important Stat Theory Concepts — Interview [duplicate]

I have an interview with a top company for a data scientist position. I was made aware that they will be testing probability/statistical theory concepts. So the question: If you had 1 hour tops ...
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2answers
60 views

Mixed variable, joint distribution, How do we know which one is continuous distribution, which one is discrete

If we have one continuous r.v. $x$ and a discrete r.v. $y$ which takes one of the two values $y_1$ and $y_2$. Let's say we know the prior probabilities $P(y_1)$ and $P(y_2)$. From Bayes theorem we ...
8
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1answer
126 views

Why is variability measured relative to a point?

Why are measures of dispersion calculated relative to some central point? Why wouldn't, for instance, all possible non-repeated, pairwise differences in the dataset be a valid measure of spread?
3
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2answers
93 views

Combining models for prediction based on residual performance

I have never read or seen someone do this before, so I wanted to pose the question here. Suppose I fit a basic linear model, $\text{price of house} = \beta_0 + \beta_1*\text{taxes} + ...
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2answers
90 views

Can a nuisance multi-class classifier do better than binary classifier?

This is rather a theoretical question in order to save the trouble in trying to do empirical testing and is part of a bet, so I hope I am right... Say there are M classes in the data BUT you want to ...
2
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1answer
94 views

How can you derive the sample size to obtain a particular type II error rate?

I often see that the sample size for a $z$-test to achieve a particular type II error rate $\beta$ (at a given significance level, $\alpha$) is: $$n = ...
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0answers
33 views

Mixed model weight matrix

Consider Henderson’s classic mixed model equations: What is the nature of the weight matrix, S-1? I believe that this is composed of the covariance matrix, but at the same time it is diagonal. ...
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1answer
93 views

Is it valid to apply large scale statistics to a single case?

I have a small black box that displays a 0 or a 1 every time I press its button. I can tell you, truthfully, that over the past 20,000,000,000 times it has been pressed, 19,999,999,990 times it has ...
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1answer
98 views

When Monte Carlo simulation can't be used to simulate a statistical system?

My question is simple. Which are the general conditions for which a Monte Carlo simulation can be used to represent a statistical system? Or conversely, which are the statistical system that cannot be ...
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0answers
59 views

Approximating a binomial distribution with a mixture normal

This is purely a theoretical question (I legitimately can't think of a real application), but if you wanted to approximate a binomial distributed variable with a two-component mixture normal, is there ...