Questions tagged [data-generating-process]

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Prove that OLS estimated coefficients are independent from other variables

How to prove that OLS estimators do not depend on other parameters, given the same variables are included in the regression? I generate some random data for 30 observations and 4 variables $x_1,x_2, ...
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Estimating complicated conditional probabilities with less calculation/computation [closed]

How can we estimate P(A | B & C & D & E) with reasonable accuracy by only calculating something like P(A | B), P(A | C), P(A | D), P(A | E), P(A | B & C), P(A | B & E), P(A | C &...
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How to create optimal observation given a classifier

Suppose that I have a dataset $D$ of cars and a classifier $C$ which, given two cars characteristics, predicts which car is "better". (It's a binary classification, the definition of better ...
nprime496's user avatar
2 votes
2 answers
261 views

A Rigorous Definition of Data Generating Process (DGP)

I am trying to find a rigorous mathematical definition of a data generating process (DGP) under a well-defined probability space. The closest source I have found on Cross Validated is this one, and it ...
Frank Swanton's user avatar
1 vote
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Standard deviation in generated data with specified autocorrelation - correction factor?

I want to generate time-series data with specified AR(1) and standard deviation. I am using arima.sim to generate univariate time series. (Ultimately, I want to use ...
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Random data generation for hurdle model using R [closed]

I would like to generate random data for a distribution which takes the form of hurdle-like model. Let's denote a random variable X with probability mass function \begin{align} Pr(X=0)&=\alpha\\ ...
RRMT's user avatar
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1 answer
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Can an ARIMAX estimate this model?

So I have this AR data series, AR1, mostly (for the argument). I also have an exogeneous regressor, only the DGP I suspect is something in the line of: $ y_t=y_{t-1}+\alpha x_ty_{t-1}+\varepsilon_t $ ...
BlackNinja's user avatar
1 vote
1 answer
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A Data Generating Process Implying Homogeneous Individual Treatment Effects

I want to find a data generating process implying homogeneous individual treatment effects. Specifically, consider two potential outcomes $y_i^1$ and $y_i^0$. The first one is the individual $i$'s (...
M.C. Park's user avatar
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16 votes
2 answers
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What if there is no true data-generating process?

I've been engaging in a number of forecasting efforts recently, and have rediscovered a well-known truth: That combinations of different forecasts are generally better than the forecasts themselves. ...
andrewH's user avatar
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2 votes
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Gonzalo's cointegration DGP

I am trying to reprogram the data generating process from Haug (1996) which follows this equation: Parameter a1 can take values (0,1); a2 is fixed at value 1 and their purpose is to set exogeneity or ...
totnan's user avatar
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Statistical model of a multi-class classifier vs. binary classifiers

Say, a balanced training set containing images that depict either a cat, dog, horse, or panda is given. One trains a machine learning model (e.g., a neural network) to classify whether an image ...
Ronquam's user avatar
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Generating realistic mock data for a real-world scenario

Im a final year math student doing a project for a company. They want to do a cup-and-grid water drop test with a firefighting helicopter. The basic idea is: a grid of 1000cups is setup on an airfield,...
kr1s's user avatar
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Change of the data generating process (DGP) vs. occurrence of unseen observations

Say, one trains a machine learning model to classify emails as spam or normal. Then, the adversary (or the collection of all adversaries) represents the data generating process (DGP) that generates ...
Ronquam's user avatar
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1 vote
1 answer
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Generating data for one-class dataset

In case I have a dataset that have only one class unlabeled (benign), could you please list some algorithms/papers that are used to generate complementary data (malignant) based on benign data only? I ...
Avv's user avatar
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21 votes
1 answer
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Why do we use term “population” instead of “Data-generating process”?

I have always been confused about the use of the term “population” in statistics. In my first statistics course I was taught that we need a sample, because surveying the whole population is too costly....
Moysey Abramowitz's user avatar
4 votes
1 answer
2k views

How to calculate expected Average Treatment Effect on the Treated (ATT) from a data generating process?

I'm running comparisons of different counterfactual modeling methodologies (exact matching, propensity score matching, regression, etc.) on simulated data in order to see which methods produce the ...
RobertF's user avatar
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1 vote
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Generate data that matches a frequency distribution while preserving the original spatial structure

I am dealing with a 3D array containing values representing the "importance" of each voxel. For my analysis, I would like to synthesize n new arrays from my original array to have a ...
Johannes Wiesner's user avatar
1 vote
0 answers
176 views

Interpretation of intercept term in ECM

Suppose two $I(1)$ series $x_t, y_t$ are cointegrated. Therefore $\mu_t$ in following equation is stationary: \begin{align} y_t = \beta_0 + \beta_1x_t + \mu_t \tag{1} \end{align} Now consider the ECM ...
Dayne's user avatar
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1 vote
1 answer
294 views

Econometrics meaning of structural versus regression model

I want to make sure my understanding is correct. Particularly in econometrics, when authors write down a model: $Y_i = \beta_0 + \beta_1 X_i + \epsilon$ Can I think of this as a 'structural model'- or ...
Steve's user avatar
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Generate data for significance testing

I want to generate a data set with a pre-specified significance level. Let's say we have 2 covariates x1, x2, and an outcome variable y. We fit a linear regression model as follow: ...
Rasel Biswas's user avatar
8 votes
1 answer
984 views

What's the DGP in causal inference?

This question come from this discussion (Under which assumptions a regression can be interpreted causally? ). That discussion touch too arguments and is not possible to speak about all things there. ...
markowitz's user avatar
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1 answer
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Isn't "contrast coding" just a weird way to write a mixture model?

My background is in CS and ML, so I am quite familiar with hierarchical Bayesian models -- and probabilistic programming. But I do not have much experience with traditional statistical methods. This ...
phipsgabler's user avatar
6 votes
1 answer
553 views

Population vs. Data-Generating Process

A lot of elementary statistical and econometric literature bases on so called "population models". An example is econometric handbook "Introductory Econometrics: A Modern Approach" ...
cure's user avatar
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