Questions tagged [estimation]

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Testing and conidence interval in a clinical trial

In a clinical trial, let's say I want to test $$H_0: \mu_1 \leq \mu_2$$ $$H_1: \mu_1 > \mu_2$$ $\mu_1$ belongs to the placebo group and $\mu_2$ belongs to the trt group. I used an independent two-...
• 399
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Do we need to check normality of the residuals when using 'CSS' method to fit ARIMA model?

I'm using auto.arima to fit my model. When I used the default CSS-ML method, I noticed that the residuals are not normal. So I ...
1 vote
28 views

OLS estimator question: using a subset versus using a dummy-interacted variables

Suppose that we are interested in the following model: $$y_i=\beta_1+\beta_2x_{i2}+\beta_3x_{i3}+u_i$$ Here, there is a dummy variable $d_i$. I am wondering whether the following estimators are ...
• 501
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VAR coefficients

Say I have a VAR(p) model without any noise (a multidimensional AR model without noise). How would I go about calculating the coefficients that are MSE optimal? Is there an extension to the Yule ...
• 65
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Nonlinear constrained optimization for a CIR model

I want to calibrate a CIR model which is commonly used to model the evolution of interest rates. Briefly speaking, we know that its dynamics is of the form r_t = \kappa (\theta - r_t) ...
• 133
32 views

Single-sample self-normalized importance weighting

Self-normalizing sampling schemes (https://artowen.su.domains/mc/Ch-var-is.pdf) seem to require at least two samples to give non-trivial weightings under an importance sampling distribution. Is there ...
• 874
1 vote
34 views

Markov Chain Monte Carlo with known normalisation

I would like to compute the expectation value $\langle O \rangle = \sum_x P(x) O(x)$ of some random variable over an extremely large sample space that I cannot simply exhaustively go through. Usually ...
• 111
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Infinitesimal Robustness, influence function of $T$ at $F$

This text is taken from Introduction to robust estimation and hypothesis testing. Wilcox R. First I will write down the description that leads to definition of relative influence on $T(F)$ and then I ...
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Translating Parameter Estimation Principles of Quantum Weak Measurement to a Classical Problem

I am not an expert in quantum theory. I want to carry out some parameter estimation on a set of data I have. I have a model for the data with the parameter(s) of interest as variable(s). The data ...
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Friendly reference for point estimation that covers the following

I took a mathematical statistics class in college which covered the following: Cramér–Rao bound Lehmann–Scheffé theorem Rao–Blackwell theorem I found these theorems very beautiful and want to ...
1 vote
125 views