# Questions tagged [computational-statistics]

Refers to the interface of statistics and computing; the use of algorithms and software for statistical purposes.

227 questions with no upvoted or accepted answers
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6k views

### Is it ok to get negative Cosine Similarity using LSA?

I am getting negative cosine similarity value between two documents in Latent Semantic analysis. How should it be treated?
1answer
5k views

### Unscented Kalman filter-negative covariance matrix

I have recently started working on the unscented Kalman filter. I coded the numerically stable version (i.e., square root Kalman filter) and used MATLAB for implementing. In the final update step, ...
0answers
36 views

### Simulate correlate random variables with given marginal distribution where one is always larger

Is it possible to simulate pairs of random variables with a given marginal distribution and population correlation where one random variable is larger than the other? More formally, I need to simulate ...
0answers
157 views

### Is this problem Bayesian? And can I use variational approximation?

Suppose there are $N$ samples of observations $\mathbf X(n)$ ($n=1,\cdots,N$), which are given by probability distribution $p(\mathbf X(n)|\mathbf Z(n))$ with their conditions are given by hidden ...
0answers
267 views

### Consistency of variable selection based on Lasso estimator for high-dimensional data

According to this paper by Meinshausen and Bühlmann (2006) the variable subset selection coming out of a Lasso is not always consistent in high-dimensional cases. It is bounded by the neighbourhood ...
0answers
910 views

### Measure of similarity between two multivariate samples

I have two samples from a multivariate distribution. One is approximate and the other is exact. My aim is to measure the similarity between the approximate sample and the exact sample. In particular, ...
0answers
1k views

### Kurtosis, bias, unbiased and statistics

I apologize ahead of time if this is too vague or meta to be a valid question. I've been looking at Algorithms (Sedgewick & Wayne). They define a class stdstats. In that they define min, max, ...
0answers
90 views

### Dynamic panel data model with AR(2) process in the errors

I set up the following dynamic panel data model: $$y_{it}=\alpha y_{it-1}+x_{it}^T\beta+v_{it}$$ Additionally, I have the process in the errors: $$v_{it}=\rho_1u_{it-1}+\rho_2u_{it-2}+\epsilon_{it}$$ ...
1answer
76 views

### Looking for a recursive formula for asymptotic variance of importance sampling estimator (self-normalized)

Looking for a recursive formula to approximate variance of importance sampling estimator $Var_q\big[\delta_{IS}\big]\approx\sum_{i=1}^n\tilde w(X_i)^2\big[h(X_i)-\delta_{IS}\big]^2$. This is an ...
0answers
932 views

### Simulated Annealing Parameter Tuning

My question concerns parameter tuning for simulated annealing (SA). I've the following toy equation $$y = (x^2+x) \times cos(2x) + 20 \text{ if } x \in (-10, 10)$$ My problem is that the solution ...
0answers
61 views

### Metrics to identify the presence of more than one circle in a set of (x,y) coordinates

I have a set of $(x,y)$ coordinates that represent any number of circles in a plane. What I am trying to do is determine whether there is 1 or more circles present in the data set. This would normally ...
0answers
121 views

### What is the feasibility to run linear model for large amount of data?

I am looking for empirical approximations and guidelines on how many operations are required to run a linear model on a given amount of data, or if it's even feasible. Let's assume we use QR ...
1answer
61 views

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### Statistical image analysis

I am working on analyzing a set of high resolution images and I was wondering what would be the most statistically valid method to test, whether the object 'x' is in the centre of the circle (diamond ...
1answer
94 views

### What is your configuration to do statistical analysis on large data sets?

The stat packages which I've been using are not very well suited for working with large data sets, i.e. more than 1 billion records. They all tend to try loading all into memory, and install one one ...
0answers
348 views

### Is this simple paired-sample permutation test valid?

I have about 10 pairs of scores, $(x_1, y_1),~ ...,~(x_{10}, y_{10})$, with all $x_i$ and $y_i$ being between 0.0 and 1.0. I'm interested in testing whether the mean difference over pairs is ...
0answers
73 views

### differences between fake computer-generated data & real data

generally, is there a/some formula(s) or algorithm(s) to prove that a data set is a fake one generated using computer and not by field work? more specific, recently I got a research questionnaire data ...
0answers
149 views

### Aggregate variance for ordinary least squares?

I am writing some MapReduce code to calculate ordinary least squares from a sample of data. I'd like to include standard error, but I am running into a problem in calculating the variance of the noise....
0answers
2k views

### What do the dip test output parameters mean?

This may sound like a silly question, but I'm not a statistician, mathematician, or programmer, really. I did quite a bit of googling, including looking into Stack Exchange, but couldn't find a clear ...
0answers
113 views

### Is there an efficient algorithm for sampling from the negative hypergeometric distribution?

I'm writing a small statistics library currently. One of the algorithms I'm implementing has two variants: one that samples the hypergeometric distribution and one that samples the negative ...
0answers
270 views

### Changepoint Analysis in R for Time Series Data

I'm new to R and statistics in general. My background is in Software Development, and I've tasked myself to solve a problem in a 3rd party application. This application is a Game, and I'd like to ...
0answers
802 views

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### Reference Request: Ratio of Computational Complexity to Predictive Quality

I remember coming across a "performance metric" which was the ratio between the MSE and the computational time. However, I can't seem to recall the name of this metric or a reference. Does anyone ...
1answer
75 views

### Which statistic is this 'overlap between sets/sections' - if any?

I’m sure someone in history already invented the following formula before. Does anyone know if so and what it’s called? Let’s say there is a set of number pairs, such that the second number in each ...
1answer
70 views

### Orthonormalization to use closed form Lasso solution

Given the Lasso problem $$min_\beta (Y-X\beta)^\top(Y-X\beta) \quad s.t. \|\beta\|_1\leq\lambda,$$ and assuming that X is orthonormal such that $X^\top X=I$, we know that the closed form solution ...
0answers
83 views

### Computational time of a (fairly complex) GAM with ARMA structure in brms

I am fitting a model for time-series analysis of Wikipedia views with STAN through the brms package. I came up with a pretty good distributional model, which ...
1answer
271 views

### LDA/NMF Topic Modeling vs Topic Modeling using “skip gram” approach

I am having a little friendly debate with my coworker on how to properly/optimally do topic modeling. I am just using the regular traditional nmf/lda approach and he decided to do it using "skip grams"...
0answers
48 views

### Downsample a stochastic process without losing correlation statistics?

I have a stochastic variable $X(t)$ which changes at a discrete set of random times $t_1, t_2, \dots$. I can simulate this stochastic process to obtain a series $X(t_1), X(t_2),\dots$ However, the ...
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41 views

### Using Markov random field spatial weights to account for spatial autocorrelation

I am looking at the relationship between life expectancy and smoking rate within the London boroughs. I thus created a bayesx spatial regression model including a term which assigns spatial ...
0answers
31 views

### Simulation - problem of maximization inside a circle

I am doing some projects related to statistics simulation using R based on "Introduction to Scientific Programming and Simulation Using R". In the Students projects session (chapter 24), I am doing ...
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126 views

### Machine Learning - Predicting Multiple Response Variables (Clothing Sizes)

For context, when a retailer buys in a clothing item they have to stock it in various sizes. The ratio of stock for each size is referred to as the "size ratio" of the product. E.g. S=0.2, M=0.5, L=...
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80 views

### Edgeworth Expansion of Discrete Random Variable

Background Consider a random variable $Z$ given by $$Z=\sum_{i=1}^nX_i,$$ where the $X_i$ are iid random variables which are linear combinations (with both positive and negative coefficients) of ...
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39 views

### Selection of differentially expressed genes

I don't have any statistical background. Have some questions. I see in some research papers they select differentially expressed genes based on fold change and p.value. And in some other papers I ...
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64 views

### Why matrix inverse is not numerical stable?

I was told by many people, many times, Never explicitly compute matrix inverse, because it is not numerical stable. Instead, use LU, QR, SVD decomposition to solve the linear system. But why? Is ...
0answers
96 views

### Stability of maximum likelihood algorithm with indeterminate forms

Assume that I want to estimate a copula model, where the copula has a single parameter, $\theta$. When this parameter takes a specific value, say $\theta_I$, this copula converges to the Independence ...