All Questions
Tagged with density-function references
13 questions
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Is there a closed form for multi-step ARIMA/ARMA density forecasts conditioned on initial values?/alternatives to this?
I am attempting to create a benchmark for probabilistic forecasting of time series to test other models against and figured that a linear ARIMA/ARMA model would be a good starting point.
I thought ...
- 451
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45
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Low rank approximation
I'm looking for literature that deals with the following problem (does anybody know any paper related to it).
The Low-Rank Approximation problem is well known:
$$\min \|X - \hat{X}\|_{F}, \: \text{s.t....
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82
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Deriving skew t density function through convolution representation?
I am studying on skew t distribution, so i need its density function. I want to derive that via, integral of convolution representation. Could you please help me and introduce a good source?
1
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Is there an informative term for calling the random elements conditional on which a PDF of a random element is defined?
Let $X_{1}, \dots, X_{n}$ be i.i.d. random elements; suppose the conditional PDF $f_{X_{1} \mid X_{2} , \dots, X_{n}}$ exists. Then I wonder if there is already in literature an informative name for $...
- 478
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When is the convolution of symmetric bimodal densities unimodal?
Let $X$ and $Y$ be real valued random variables with densities $f_X$ and $f_Y$. It is well known that if $f_X$ and $f_Y$ are symmetric about zero and unimodal then their convolution $f_X \ast f_Y$ is ...
- 11
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47
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Random variables stable by nonlinear function
Let $h$ a function and $X$ a random variable with CDF $F$.
We say that $X$ is stable by $h$ if $h(X)$ follows $F$.
I would like to know if there is a literature for those kind of random variables? (...
- 1,260
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71
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Term for assessing unknown distribution
I come from the field of Numerical Analysis, and I look for the term which describes the problem of fitting a probability distribution to statistical numerical continuous data, without a-priori ...
- 223
2
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65
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Quantify compatibility between posterior estimates
I am performing $n$ distinct, independent experiment $E_1$, $E_2$, $\ldots, E_n$ to ideally measure the same quantity $X \in \mathbb{R}$ of interest.
For each experiment, I can compute the posterior ...
- 5,238
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55
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Reference on analysis of $k$-nearest neighbor density estimation
I am looking for pointers to the analyses of the $k$-nearest neighbor density estimator.
In particular, for a fixed $k$, I would like to find the derivation of the mean and the variance of the KNN ...
- 111
17
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Linear transformation of a random variable by a tall rectangular matrix
Let's say we have a random vector $\vec{X} \in \mathbb{R}^n$, drawn from a distribution with probability density function $f_\vec{X}(\vec{x})$. If we linearly transform it by a full-rank $n \times n$ ...
- 331
3
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The sum of the kernel density values is not 1?
>> x = [randn(30,1); 5+randn(30,1)];
>> [f,xi] = ksdensity(x);
>> sum(f)
ans =
5.5376
I ran the ...
- 161
1
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85
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References regarding rules for multidimensional histograms
Can someone give me references on the theory of histograms applied to multivariate data? Are there any rules like the one dimensional Freedman-Diaconis available for the high dimensional case? What ...
- 11
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What is the physical meaning of the probability density function and cumulative distribution function? [closed]
I have started research in Electronic Engineering, where PDF & CDF take a core part in most of the applications. I have studied books on probability where they have discussed the PDF & CDF ...
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