Questions tagged [multivariate-analysis]
Analyses where there is more than one response or dependent variable of interest. This can be contrasted with "multiple" or "multivariable" analysis, which typically implies more than one predictor or independent variable.
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Multiple Time series Forecasting Using LSTM in python
Assume I have a m dimensional input feature vector and I would like to perform multiple steps time series forecasting. I have about 500 files which each one is has 100 observations for example ...
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11 views
Ranking users by mean daily message count and least variation
I would like to rank users of a text and voice communication app by the number of messages sent, the amount of time spent on voice calls and number of interactions. This ranking should be updated in ...
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4 views
Which model or algorithm to use for complex optimization problem?
I have a simulation model with a large amount of input and multiple output parameters. I would like to use this model for an optimization task, but I am limited in computation time and resources. So a ...
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10 views
Sample size prediction in multivariate A-B testing
I need to run an A-B testing with one control group (40%) and 3 variants (20%) each.
Base line = 0.65
Target lift = 0.25
Power =0.8
Confidence = 95%
I found following R code to find minimum ...
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1answer
28 views
Longitudinal Cox Regression analysis?
So I have a dataset that is currently in wide format and I have multiple waves recording data such as age, death, diagnosis etc. I have done a simple Cox regression analysis:
...
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2answers
16 views
Answering a question with Multivariate analysis - benefits of machine learning?
I'm doing an medical analysis examining the relationship between 20odd variables with a particular patient outcome. I've always run a multivariate analysis to answer these sort of questions, with the ...
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16 views
Creating multivariate regression model out of multiple univariate models
A bunch of ML regression models are defined only for predicting the value of a single variable.
Or have standard implementation that are only for the univariate case.
For example support vector ...
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7 views
Difference between matched pair design and the same control variable
Currently I'm doing a Master thesis and I have a question related to that. I'm running a regression and I created a matched pair design sample (based on firm size, industry and year). However, my ...
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9 views
How to use a truncated multi normal distribution? [on hold]
I know how to use truncated normal distribution. Just add T(limit1, limit2) after piror, e.g. dnorm(mean, sd^-2) T(limit1, limit2).
However, Now I need to use dmnorm function, which is used for ...
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15 views
Maximum likelihood estimator Factor Analysis
I'm looking for a good explanation for how to perform factor analysis using MLE. I'm aware of the factanal function in R, but I'm looking to calculate it manually ...
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11 views
MCA in FactoMineR: all variables are the same on Dim 1?
My data is ordinal (1, 2, 3, 4, 5, NA from a likert scale) and doesn't have any obvious pattern looking at the raw data.
My code looks like this:
library(FactoMineR)
df <- data.frame(Var1 ...
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1answer
46 views
Learn this distribution from samples? What is the sample complexity?
$\newcommand{\norm}[1]{\left\lVert#1\right\rVert}$
We have an $n$-variate distribution $X\in\{0,1\}^n | \sum_i^n X_i = k$. Or, in other words, we are guaranteed that only $k$ variables will be $1$ in ...
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1answer
21 views
Standard BEKK parameters
I am looking at a BEKK Multivariate GARCH model.
In a standard GARCH model, we generally expect,
$$h_t=\omega+\alpha u_{t-1}^2 +\beta\sigma_{t-1}^2$$
The alpha ($\alpha$) coefficient to be ...
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0answers
64 views
Find correlations based on large multivariable time-based data with one output per dataset
I am not well versed in anything beyond basic statistics but have been tasked with coming up with a "grading" scale for wear on a part based on data we have collected. I am in need of help figuring ...
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27 views
Outlier detection for bivariate bimodal distributions
I have been trying various methods to detect outliers in a bivariate dataset using Mahalanobis in R, but I am unsure about how correct it is since both of my variable vectors are not normally ...
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10 views
Multiple correlation coefficient in multivariate distribution [duplicate]
If mean and covariance matrix are given then how to find multiple correlation coefficient ?
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33 views
Maximizing Sum of Upper Triangle Matrix Elements with Respect to Column and Row Swapping
So, I wanna make a ranking method for teams in the EPL, there are 20 teams in EPL, therefore there are $20!$ configurations of ranking assignment, my final ranking assignment would be the one that ...
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18 views
joint model and multivariate model
I have a crash data set which provides information about the frequency of crash by severity level on each intersection. I want to develop a joint model for frequency by severity.
I am new in this ...
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11 views
Multinomial vs multivariate logistic regression
I have a list of cancer cases with details. They belong to various stages like 1a/b, 2a/b/c, 3a/3b/3c, and Stage 4a/b/c, unknown and blank(missing). I combined early stage cancer cases consisting of ...
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9 views
Adding interaction term to multivariate parallel growth model nlme/lme4
I've been using examples from Grimm, Ram, and Estabrook (2017) to construct a parallel multivariate model to explore the relationship across time between two continuous variables, FS and Left_dlPFC.
...
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8 views
Comparison between Bivariate Student t with dependence matrix and without dependence matrix
Let $\boldsymbol{Y} = (Y_1, Y_2)^T $ be a $n \times 2$ random vector and $\boldsymbol{X}_1, \boldsymbol{X_2}$ are $n \times p$ regressors matrices. Finaly, $\Sigma^{1/2} = \Sigma \times \Sigma$, where ...
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17 views
Should I run an ANOVA between groups on each question from a questionnaire?
I have asked one group of participants their views on 2 different forms of recruitment. They answer 19 identical Likert scale questions for each form, of the 19 questions there are 5 themes.
My idea ...
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23 views
How to conduct multivariate hypothesis testing?
I have 60 samples which form 1 population. Each contain 9 variables, saying, $X_1, X_2, X_3, X_4, ..., X_9$, continuously ranging from 0 to 10.
Now I would like to test if there is anomaly in each ...
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1answer
27 views
Coefficient test (Wald) vs model test (Wald, LR and Score) in multiple regression cox model
I am aware that, in multiple regression cox model, we test (Wald) each variate to show if it has significant impact on survival. Also, we got the significance of overall model using Wald, LR and Score ...
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15 views
Representing Multiple Variables Measured at Multiple Independent Times
I'm attempting to find a good storage/data representation in "R" for a data set with a large number of variables, each of which is measured independently for a number of years but at irregular ...
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4 views
RDA axes significance
I performed a RDA with RDA function from vegan library. I tested model significance with permutations and I also teste axes significance.
Results indicate that the model is significant (p=.005). From ...
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2 views
Creating a statistic for The Chase quiz show
I run a website based on the UK version of this TV show. At the moment I use a simple statistic to rate a player's performance, basically the percentage of show's that they have won. But this isn't a ...
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17 views
Vector Autoregression with Trials
I want to use VAR model on my data. In addition to typical two dimensions (variables, time steps), I have a third dimension, namely the repetitions of the same experiment.
Can you recommend a ...
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16 views
Multivariate regression for dataset with several dependent variables?
I'm looking at whether bottle size, design etc. has an effect on perceived value, perceived quality etc. So first set are the independent variables and the second are dependent variables.
Would ...
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2answers
55 views
How to analyze correlation of multivariate time series
I have a multivariate time series with variables A, B and C. ...
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0answers
6 views
gogarch package
I have read the description to gogarch package, but i don't understand the function of external.regression option in that package.. How it is working ? could you give an example?
...
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0answers
9 views
Why protect “general factor”s in factor analysis?
My Multivariate Analysis textbook states that
As we have noted, a general factor (that is, one on which all the
variables load highly) tends to be "destroyed after rotation." For
this reason, ...
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26 views
OLS regression with multiple dependent variables that are correlated with each other
Suppose I want to see the impact of an explanatory variable $X$ on two different dependent variables: $Y_1$ and $Y_2$. Suppose also that I find that $Y_1$ and $Y_2$ are correlated.
Assuming that all ...
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30 views
Why aren't multivariate analyses more popular within econometrics? [closed]
I'm currently working on a project that would benefit from having multiple dependent variables. The main model we want to use is a fixed-effects model. My instinct was that it is not okay to repeat ...
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59 views
Why do people use PCA when it has so many issues?
(This is a soft question) Recently I'm learning Principal Component Analysis, and it appears to have a lot of issues:
You have to transform the data to roughly the same scale before applying PCA, but ...
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38 views
Chi-Square Degeneracy for Large Sample
(Forgive my hand-waving explanation) When discussing anomaly detection methods (for example), one possibility is comparing the distance of a point from a centroid: Given 100 samples $X_1,...,X_{100}$ ...
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1answer
45 views
Does $\text{cov}(a_1' X, a_2' X) = 0$ imply $a_1 \cdot a_2 = 0$?
Let $X$ be a $p$-dimensional random vector with $p$ principal components $y_1, y_2, \dots, y_p$. By definition, a restriction put on the second principal component $y_2 = a_2'X$ is
$$
\text{cov}(y_1, ...
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1answer
43 views
Anomaly detection in time series data from multiple sensors [closed]
I've build a classification model based on 15 features coming in real time from 15 sensors.
The window time is 60 seconds, means that the classification model needs 60 records from each sensor (the ...
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22 views
Removing Influence of Other Time Series in Multivariate TS Analysis
I have some non-periodic time series that are all correlated. In the absence of the others, each time series would consist of a set of responses to events. I don't know the duration or shape of each ...
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28 views
Portfolio Value at risk (VaR) with DCC Garch model in R
Hello respected members,
I need your help to forecast portfolio VaR for 3 assets(returns) with the help of DCC Garch model in R. I have done the following steps as you can see from my codes also,
1) ...
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0answers
17 views
Quantifying how informative knowledge of an observation's value on one variable for predicting its value on another
Say I have two variables, V1 and V2:
df <- data.frame(V1 = c(1, 3, 3, 4, 2, 5, 6, 4, 8, 7),
V2 = c(4, 5, 4, 6, 1, 5, 6, 5, 5, 7))
These ...
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22 views
Does a PCoA (or MDS) assume normality of the variables behind distances?
More precisely, if I conduct a cmdscale (classical multidimensional scaling) on an Euclidean distance matrix by considering $n$ observations of $p$ variables i.e. $D_{ij}=\sqrt{ \sum_p (x_{ip} - x_{...
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13 views
Multilevel logistic regression for 3 by 3 factorial design? Sparse matrix problem
For the sake of example, let’s say this is a costumer research study.
I have a binary outcome (x) that is either making a purchase or not making it.
I have three independent variables: store ...
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0answers
12 views
CCA on feature maps: Gradient w.r.t to Jacobian
Assume I have two neural networks, abstracted as two feature maps, parametrized by $\theta_x,\theta_y$ respectively. $\phi_x(x;\theta_x) \in \mathbb{R}^{h_1}$, $\phi_y(x;\theta_y) \in \mathbb{R}^{h_2}$...
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15 views
Multivariate Generalized Least Squares
I'd like to use the generalized least squares (GLS) in the multivariate version. I have a response variable $\boldsymbol{Y}$ with dimension $n \times m$, where $n$ indicates the number of observations ...
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1answer
111 views
Which multivariate test on repeated k-fold cross-validation with collinearity?
I am running repeated k-fold cross validation (5x5-fold) for comparing two models based on 3 dependent numerical variables (X, Y, Z) and 4 independent categorical variables (A (two groups), B (five ...
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47 views
Model selection - three correlated binary variables
I wish to examine the effect of a vector of independent variables $X$ on three dependent variables $y_{1-3}$. The independent variables are identical for all three dependent variables, as are the ...
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28 views
skew G-Jensen-Shannon divergence between multivariate gaussian calculation discrepancy
I'm trying to calculate the Jensen-Shannon divergence between two multivariate Gaussians.
I found a closed-form expression both for the KL divergence and JS divergence between two Gaussians in this ...
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1answer
32 views
Computing conditional probabilities on multivariate data from covariances
I am struggling to implement some Bayesian algorithm which I hope you may help me with.
I am required to compute all probabilities of the form:
$$P(Z_i\le z_i\;|\;Z_1=z_1, \dots, Z_{i-1}=z_{i-1}) \;\...
3
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1answer
97 views
Eigenvalues as weighting factors for projection results on corresponding eigenvectors in PCA
In the paper Novel PCA-based Color-to-gray Image Conversion, the authors project the three-dimensional $(R, G, B)$ value of each pixel onto a one-dimensional grayscale space via a curious application ...
