Questions tagged [iteration-methods]

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AR(p) by iterated vs. lag method. Different results

Reading "Applied Econometrics Time Series" By Walter Enders I am trying to derive the stationary AR(p) model as he does on page 58, fourth edition. This is the AR(P) model \begin{equation} y_t=a_0+\...
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Combinations of column of a dataframe in R, whose sum maximizes a correlation with a target vector

I have a time-series dataframe in the wide format: rows represent different time points from the series, and columns represents different scores that I aggregate by sum. I would like to find the ...
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Why use iterated SUR (ISUR) over regular (one-step) SUR?

Stata, a statistical package, offers the possibility to estimate a system of equations using Zellner’s seemingly unrelated regression (SUR) in either one-step or using an iterated SUR (ISUR) method ...
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Maximum Likelihood Estimation Question: why do we need starting values?

I am trying to understand the principles behind Maximum Likelihood Estimation. And I would be appreciative if someone spotted any misunderstandings or else confirmed that I am understanding this ...
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21 views

selecting a number according to probability

Could anyone just tell me what does he, mean by at the point $2$, selecting a number according to the probabilities, $p(x_0)$? does he meant to chhose the largest one out of $p_i(x_0), i=1,2,\dots,N$?,...
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45 views

Whats is the difference between using risk() and cvrisk() in the R package mboost

I am currently running an additive model using the function gamboost() in the package mboost. When using the ...
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9 views

What is it called cumulative of every X previous days?

Let's say I have sales number of last 60 days. I can just draw a graph to see how sales has changed overtime. Numbers vary in different days, like on weekends sales numbers decrease. However, I ...
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143 views

Iterated estimation of Taylor series

Say your data generating process is given by the function $y=f(x|\theta)$, where $y$ and $x$ represent variables (data) and $\theta$ represent parameter(s). For convergence reasons (e.g. $f(\cdot)$ is ...