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Questions tagged [recursive-model]

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Non-Recursive Kalman Filter Evaluation [on hold]

While backtesting a kalman filter model, I hit a performance bottleneck that raised the following question: Given that all the input data is available for a time range, is it possible to evaluate the ...
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1answer
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default plot for mob object (glm tree) not returned; using party package [closed]

I'm trying to plot a glm tree using the package party. Per the reference guide, the default plot of the terminal node should be a spinogram as in this image but I ...
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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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How to derive a recursive version of a regularised cost function

I am to derive a recursive version of the following cost function and examine for which choice of D can we have a estimator windup $V(\theta) = \frac{1}{2}\sum_{t=1}^n(y(t)-\phi(t)^T\theta)^2 + \...
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1answer
37 views

MLE derivation of the Recursive Least Squares estimator

I think I'm able to derive the RLS estimate using simple properties of the likelihood/score function, assuming standard normal errors. If the model is $$Y_t = X_t\beta + W_t$$ then the likelihood ...
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Endogeneity in Recursive Probability Models

I am trying to estimate the causal effect of $\{\Psi_i\}_{i=1}^M$ on $Y$. Where $\Psi_i$ are probabilities, and there is simultaneity between $\Psi_i$ and $Y$. The proposed methodology is first to ...
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Recursive nonlinear models [closed]

I have the following recursive linear model $X = \varepsilon_1$ $Z = \beta_2 X + \varepsilon_2$ $Y = \beta_3 Z + \varepsilon_3$ By solving the model its easy to see that $E[Y|X, Z]$ is linear too. ...
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2answers
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Newcomer question: How does the GARCH recursive formula actually work?

So, I have a some experience with standard econometrics, and I also understand GARCH's basic concept, but I can't figure out what actually goes into its model. So we have the standard GARCH(1,1) ...
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How to Perform MLE for recursive equation Markov Chain?

So I have been learning about Maximum Likelihood Estimation for basic basic equations like a normal distribution. If I have some pdf of a distribution, but with unknown parameters, I can easily ...
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1answer
359 views

Recursive Feature Elimination in sklearn

I have been thinking about one thing after reading documentation from sklearn about Feature Selection for building prediction models (http://scikit-learn.org/stable/modules/feature_selection.html#rfe) ...
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Proportion of cells with certain number of mutation in dividing population

I managed to reduce a problem in my research to the following: Suppose that we have a population of cells which starts with a single cell that has zero mutations, and at each time step each cell ...
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1answer
84 views

Regressors vs. conditioning variables in glmtree

I have a dataset with ~800K samples, ~300 features and I'm trying to predict a binary outcome. I've started with sklearn's SGDClassifier (using log loss and l1 ...
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68 views

An iterative forecast with one recursive independent variable

I would like to forecast iteratively a model with a lag dependent variable and a recursive independent variable. Is this possible to do in Stata? Basically, it would be: y(t+1)=a0+a1*y(t)+a2*x(t),...
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Recursive regression Diagnostics

I currently have a recursive regression with forgetting set up in R. I constantly update my Betas as each new data point comes in. I have two models one with 5 variables and another with 9 variables. ...
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1answer
229 views

Predicting the observations in a POMDP with a recurrent neural network

I use neural networks for online sequence prediction. The performance of LSTM in this case, however, is not nearly as good as I expected. Maybe someone can help me understand where the problem lies. ...
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How to make a regression model for a relation looking like a step function ? Why can't I get an output for recursive partitioning done below?

I'm working on a dataset to describe the relationship between length and age of bluegill fish and the linear model based plot looks like this: I hence tried using recursive partitioning algorithm as ...
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1answer
114 views

Seemingly simple urn stochastic process

This seems like a simple model, but I'm getting a bit stuck on it. Suppose I have an urn with $w$ white balls and $b$ black balls. At each turn, I draw a ball, note its color, and retrieve a ball with ...
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3answers
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Recursive neural network implementation in TensorFlow

Is there any available recursive neural network implementation in TensorFlow TensorFlow's tutorials do not present any recursive neural networks. Most TensorFlow code I've found is CNN, LSTM, GRU, ...
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1answer
942 views

Can neural network can be used to predict pseudo-random numbers?

Given list of numbers which looks pseudo-random (like lotto numbers, stock prices, pseudo-random), is it is possible to train the network to attempt to predict the next numbers? Which network would ...
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0answers
47 views

Recursive bayesian prediction, which model to use?

Let's say that I have a set of random variables $X=\{X_1,..X_t,..X_T\}$ ($t$ is a time index). I know that every one of these random variables $X_t$ generate a multivariate Gaussian Distribution and ...
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0answers
49 views

Taxonomy of statistical methods and bayesian techniques [duplicate]

I was wondering if there was a document or a website that shows how statsitical techniques relate to each other and when to use each of them. I'm an engineer and every time I need to use a certain ...
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229 views

Is there a recursive version of Kriging or Inverse Distance spatial interpolation?

Classic use-case of Kriging: you have a 2d space, you have $n$ observations, each of them representing an exploratory dig. It has a $x$ and $y$ coordinate, and a $V$ representing the value discovered ...
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1answer
1k views

Using word embeddings / word2vec for classification of entiy

I am trying to used word2vec or word vectors for classification based on entity. For example , I have to classify the following words in a sentence as : " Google gives information about Nigeria " ...
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1answer
94 views

Asymptotic distribution of a recursive statistic

I have a (time series related) test statistic which is asymptotically normal. I would like to know what is the asymptotic distribution of its maximal value obtained by a recursive estimation. For ...
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1answer
3k views

Want to make a function which allows for recursive window forecasting

I have been looking for a function that can make recursive window out-of-sample forecasts, but seems there is none. So I'm thinking about about making a function that can be used for recursive window ...
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1answer
163 views

Recursive System

Considering a two equation model: Equation 1 Trunk=f(Headroom) In the first step I regress the first equation to get predicted values of Trunk. Equation 2 <...
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2answers
659 views

Intuition for recursive least squares

The least squares formula, $\beta = (X'X)^{-1}X'Y$ can be recursively formulated as \begin{align} \beta_t &= \beta_{t-1} +\frac{1}{t}R_t^{-1}x_t'(y_t-x_t\beta_{t-1}),\\ R_t &= R_{t-1}+\frac{1}...
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2answers
762 views

Population model to model year to year dynamics

My task is to assess how various environmental variables affect annual population fluctuations. For this, I would use a model like: $$ \mbox{log} ( \mu_{i,j+1} ) = \mbox{log} ( \mu_{i,j} ) + R_{j} + \...