Questions tagged [discrete-time]
The discrete-time tag has no usage guidance.
0
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1answer
21 views
How to recognize an ARMA process?
By looking at the autocovariance, how could you recognise what discrete model (MA(q), AR(p), or ARMA(p,q)) is more appropriate to describe your data?
1
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0answers
28 views
Discrete-time survival model as linear probability model
Discrete-time survival (event history) models are typically estimated using a nonlinear transformation such as logit, probit, or completementary log-log.
Logit assumes proportional odds, and similarly ...
3
votes
2answers
84 views
Simulation -Discrete Time Hazard model
How we can simulate the survival times for fitting discrete time hazard model?
3
votes
1answer
246 views
How to forecast integer time series in R?
For a while now I used to forecast integer/count time series as I would do for any other continuous time series, meaning : I use models like ARIMA, ETS, THETA, TBATS ... And then I simply round the ...
1
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0answers
22 views
best statistical approach to study the time evolution of clustering in a data set
I am using a stochastic method for the clustering of a data set. The number of clusters that this approach returns, can differ in each iteration. On the other hand, I would like to study the evolution ...
5
votes
0answers
27 views
Is average stopping time a continuous function of Bernoulli parameter?
Consider an infinite sequence $X = (X_i)_{i \in \mathbb N}$ of i.i.d Bernoulli random variables with (unknown) parameter $p \in (0,1)$, and let $N$ be a stopping time on $X$. Is it always the case ...
0
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0answers
12 views
Estimation of standard errors in conditional discrete time logistic regression models
I'm estimating a conditional discrete time logistic regression model in STATA and predict hazard and survival functions after logit using predictnl
predictnl hazard= predict(pr), ci(hazard_lb1 ...
2
votes
0answers
28 views
Gaussian random variable over multiple periods
Let's assume that :
$$X_0=X_0$$
$$X_1=(1+R_1)*X_0$$
$$...$$
$$X_N=(1+R_N)*X_{N-1}$$
where $R_i \sim \mathcal{N}(0,u^2)$.
I am trying to compute the probability $P(X_N < a)$.
How accurate is it to ...
0
votes
1answer
499 views
Linear mixed model: Time as continuous or discrete variable?
I am analysing a dataset from a randomised controlled trial (2 treatment groups) with measurements at 3 time points (weeks 0, 1 and 8). I am struggling with whether to analyse this with the three time ...
0
votes
1answer
79 views
Probability distribution for day of the year [closed]
"Day of the year" is an integer from 1 to 365, indicating the day within the year. I'd like to model the day of the year that a particular event occurs. The event must occur between day 100 and day ...
3
votes
1answer
1k views
discrete time survival analysis
I would greatly appreciate if you could let me know how to do discrete time survival analysis with time varying covariates.
Some part of my data set is as follows:
...
0
votes
1answer
710 views
parametric survival regression and discrete time survival regression
I would greatly appreciate if you could let me know how to choose among different parametric distributions including gama, Weibull, lognormal, loglogistic and etc for panel (time series cross ...
0
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0answers
16 views
Looking for suitable method to update predictions
consider an e-commerce website which daily updates their transaction data. I take interest in predicting the revenue an account generates over a certain time range, say until the fifth year after the ...
2
votes
0answers
127 views
Difference between count time and discrete time survival analysis
Is there a practical or theoretical difference between count time survival analysis (e.g. ctset/cttost in Stata), where counts ...
3
votes
0answers
215 views
Interpreting a (integer valued) discrete predictor as a continuous variable?
I am currently working on a multiple linear regression in order to evaluate the impact of some variables on a contract's length, which can only take integer values (years). As I am only interested in ...
4
votes
0answers
206 views
Describe AR process with additive white noise using ARMA process
Disclaimer: This is a homework problem
This is a problem from "Adaptive Filter Theory" by Haykin. Problem 2.10 (2nd edition).
Problem
A discrete-time stochastic process $\{x(n)\}$ that is real-...
1
vote
1answer
113 views
Algorithms for extracting moving average intervals
I have a series of discrete events and a global clock.
Whenever an event happens, I record a timestamp and do some processing. Specifically, I am trying to compute "moving average" (not really) ...
0
votes
0answers
160 views
How to check assumptions for a discrete time survival analysis
What tests are required before and after estimating a discrete time survival model? In other words, how the assumptions should be tested and how the generalization of results should be investigated ...
1
vote
1answer
57 views
Coefficients in discrete proportional hazards model
I am aware of the rationale behind taking the exponentiated coefficients in a proportional hazards model as representing change in hazard per unit change in the corresponding predictor. This also ...
1
vote
1answer
70 views
I have a discrete-valued time series and would like to analyse it, but dont know where to start
Due to some health issues, each day at about the same time, I give myself a score which represents the state of my health: specifically, fatigue, with 1 being the worst and 10 the best. In practice, ...
0
votes
1answer
171 views
How to calculate the probability of death between two discrete time periods using survival curves
I was hoping somebody could help, I am trying to work out the probability of death between two time points on a survival curve.
i.e. I have my survival curve as follows (this is an example Kaplan-...
0
votes
1answer
120 views
When is time treated as a discrete variable?
Time is usually treated as a continuous variable but in some cases it is discrete. An example would be with a drug study and measurements are taken at 1, 2 and 3 hours. Am I right to think an ...
1
vote
2answers
104 views
Resource request : How to prove the output of a process is random variables?
I am reading through articles which present the spectral properties of chaotic systems such that they can be candidates for generating pseudo random binary sequences. One such article, is http://...
1
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0answers
82 views
Difference between Cox Proportional Harzards Model and interval-based logistic model for survival regressions
I have a dataset of timestamped trader transactions (to the second). I want to conduct a survival analysis on the trades where a trade is started at startTime and ...
0
votes
2answers
97 views
Discrete survivor function expressed in terms of hazard
Let $T$ can take on values $t_1,t_2,\ldots,$ with $0\le t_1\le t_2,\ldots,$ and let the probability function be
$$f(t_j)=Pr(T=t_j),\quad j=1,2,\ldots$$
The survivor function is then
$$S(t)=Pr(T\ge ...
2
votes
0answers
163 views
Discrete time generator of stochastic process
While looking at one paper about Metropolic Hasting optimal convergence rates, I came accross a discrete time generator of Markov chain. It is defined as follows:
$$G V(x)=nE\left [ \left( V(y)-V(x)\...
