Questions tagged [data-generating-process]

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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 (...
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2answers
974 views

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. ...
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19 views

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 ...
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0answers
21 views

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 ...
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36 views

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,...
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11 views

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 ...
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1answer
18 views

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 ...
13
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1answer
230 views

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....
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25 views

Expected value of the sum of Bernoulli r.v. with p = cdf of Normal r.v

Let $y_1, y_2,\ldots, y_n$ be an independent samples from an unknown distribution and $q_p$ be its $p$th percentile. I constructed $B_i$'s such that $B_i \sim \text{Bernoulli}(F(y_i))$ where $F$ is ...
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1answer
286 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 ...
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32 views

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 ...
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0answers
63 views

How can I generate longitudinal data with correlated individual effects and serially correlated error term in R/Rstudio?

I would like to generate longitudinal data with correlated individual fixed effects (correlation with the explanatory variable) and serially correlated error term in R/Rstudio. The data generating ...
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0answers
61 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 ...
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1answer
69 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 ...
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20 views

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: ...
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67 views

Mixed data sampling in R (midas_r)

I have the following code where I have a weekly time series (variable x) which I would like to use in order to forecast my monthly time series (variable y). So basically I want to forecast the current ...
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1answer
232 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. ...
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14 views

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 ...
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135 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" ...