# Johann Hibschman

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bio website location New York, NY age member for 3 years, 2 months seen 13 hours ago profile views 15

Yet another physicist pretending to be a statistician. Mortgages, housing, economic forecasts, and trading strategies, oh my.

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 Nov13 awarded Tumbleweed Nov6 revised Box-Cox transform units and scaling transposed two words Nov6 asked Box-Cox transform units and scaling Jun19 awarded Yearling Jun19 comment Confusion regarding least squares method They're not solving linear regression. They're doing a math problem. There's no need for them to mention "y" in this context at all. The only problem they have is to minimize Ax-b. Linear regression just happens to be a problem you can reduce to that form. "A" becomes a matrix of [[1 x1] [1 x2] [1 x3] [1 x4]]; "x" is the vector of [b a]; "b" is y. Jun19 comment Confusion regarding least squares method Oh, that's just notation. They're doing plain convex optimization, not linear regression, so they're defining "b" to be (y-b) in the linear regression case. In the problem they're solving, there is no "y". Is that clear? They're just solving for x; A and b are assumed known. (edit: last statement was wrong) Jun19 answered Confusion regarding least squares method Jun5 awarded Scholar Jun5 accepted Regression with exponentially-smoothed errors Jun4 awarded Supporter Jun4 comment Regression with exponentially-smoothed errors Thanks, I'll look into ARIFMA. Not trying to be snarky, but I'm a bit of a GARCH-skeptic. Probably comes from mostly looking at monthly data, rather than daily or intraday, where improved vol modeling doesn't pay off. Mortgages, housing, and econometrics, oh my. Jun4 comment Regression with exponentially-smoothed errors What I want is a regression setting a baseline, then looking for a slow-moving error trend on top of that. That's hard to turn into a straight AR or MA model. GARCH seems like a solution in search of a problem here, as usual; I'm not concerned about getting the volatility right, just the baseline. Jun4 comment Regression with exponentially-smoothed errors Thanks, that gives some food for thought. Do you have any good links describing transfer function models? My current idea is to put together a state-space model (West&Harrison- or Durbin&Koopman-style), plug in a diffuse prior, no state variance (except on the constant and trend), and turn the crank, but that method tends to depend a lot on the exact variances chosen. Jun4 asked Regression with exponentially-smoothed errors May31 revised Can I compare ordinal rankings (and if so, how)? Also suggest Spearman's rho May31 awarded Editor May31 revised Can I compare ordinal rankings (and if so, how)? Gave more detailed examples of the calculations. May31 answered Can I compare ordinal rankings (and if so, how)? May24 awarded Student May24 asked Dynamic factor analysis vs factor analysis on differences