# Questions tagged [standard-error]

Refers to the standard deviation of the sampling distribution of a statistic calculated from a sample. Standard errors are often required when forming confidence intervals or testing hypotheses about the population from which the statistic was sampled.

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329 views

### when can I substitute an inverse with a pseudo-inverse in an estimator

Short Version: can I substitute the Moore-Penrose generalized inverse of a matrix (R function ginv()) for a matrix inverse (R function ...
3k views

### Which standard deviation of the cross-validation score?

When doing cross-validation for model selection, I found there are many ways to quote the "standard deviation" for the cross-validation scores (here "score" means an evaluation metric e.g. accuracy, ...
944 views

### Standard Error of the cumulative value for time series

I have two time series, as in the picture below. The data was gathered experimentally. A practical example could be a measured mass flow rate, where I measure the mass flow rate over a certain time ...
80 views

### Can I use bootstrap results at the observation level?

I have read quite a bit of bootstrapping, but the issue I want to address seem not to appear. Consider a simple regression model: $$y_{i} = \beta_{0} + \beta_{1}x_{i} + e_{i}$$ I am aware that ...
731 views

### Computing Standard Errors in EM algorithm

I'm applying the EM to a hidden markov chain (the $\mathbf{Z}=\{Z_1,...,Z_n\}$ variable), with observations(the $\mathbf{Y}=\{Y_0,...,Y_n\}$ variable) dependent not only on the hidden markov chain, ...
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### Can I add a random effect accounting for huge differences within one factor?

The Experiment and Data The experiment I am working on has the following design: A B C D E F B A D E F C A B E F C D B A F C D E Each Letter represents a different level of ...
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### Is the algorithm of calculating SEs of beta coefficients calculated by the nlme gls finally fixed?

I can read here: https://www4.stat.ncsu.edu/~davidian/st732/examples/dental_pa.R and here: https://math.unm.edu/~luyan/stat57918/week14.pdf that: WARNING: There is a MISTAKE in gls(), and it DOES ...
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### Standard error for rolling regression

I am reading this paper: "The price of sin: the effect of social norms on market" In this paper, on the top of page 29: A reports the average coefficients obtained from the time-series regressions ...
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### Standard error of the coefficient in GLM

I'm trying to learn about Wald test. I know, that its test statistics is $$t = \frac{\beta_i}{se\left( \beta_i \right)}$$ But, how is standard error $se$ computed in GLM? I've found only the ...
1k views

### Adjusting Standard Error for Imputed/Generated Regressors

This is my first question, so I hope this is a valid question. I am surprised that I have seen only few questions (and no answer helping me out) referring to the adjustment of variance estimators in ...
872 views

### Aggregating Standard Errors for Predicted Probability Estimates

I obtain predicted values from a logistic regression for a certain outcome (e.g., mortality) at the hospital level – the data is at the patient level – and need to compute the average across hospitals....
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### OLS standard error that corrects for autocorrelation but not heteroskedasticity

Question: By mapping the OLS regression into the GMM framework, write the formula for the standard error of the OLS regression coefficients that corrects for autocorrelation but not heteroskedasticity....
778 views

### Confirming the detailed calcs for NPS Margin of error

Based on this very good post How can I calculate margin of error in a NPS (Net Promoter Score) result? I've pulled together the detailed calculations to perform the test for the generalised NPS ...
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### Three versions of the independent two sample t-test (and R)

This post concerns three versions of the independent two sample t-test: Student's t-test uses a pooled standard deviation in the denominator (all equations are shamelessly copied from Wikipedia - ...
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### K-Fold Cross-Validation - Formula for Standard Errors

I've recently tried to understand and formalize the one-standard-error rule for model selection by means of cross-validation. However, unfortunately I found most of the descriptions of the CV standard ...
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### Approximating standard error that contains a parameter, by replacing the parameter with its estimate

I am a bit confused about the following step I have seen in the stats literature which seems to me a bit circular. Say you are approximating the standard error of the MoM estimate of an exponential ...
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### Delta Method Average Marginal Effects Multinomial Logit

Following the incredible demonstration in Statalist by Jeff Pitblado on how to calculate - using the Delta Method - the Standard Errors for Average Marginal Effects of a Logit Model. Q: What would ...
343 views

### Why don't we use the n-1 correction for standard error of sample proportion?

From my understanding, when we construct a confidence interval for a sample mean with a sample size of n, we try to estimate the standard deviation of the sampling distribution σ_{\overline{x}} = \...
264 views

### Statistical error for kernel density estimator

First of all sorry to use the word "error" without additional specification. I have a dataset with few elements ~(10-100) and I want to show them using a KDE (instead of simple histogram, for ...
2k views

### Sandwich Estimator in Maximum Likelihood Estimation of Logit

I am estimating a discrete choice model using mixed logit using Halton Draws. So everything is effectively done with MCMC. The code is written in MATLAB. I am using MATLAB's ...
656 views

### Caclulating standard errors for generalized least squares without raw data (just sample means and covariance)

I have a question very similar to the question asked here: is it possible to calculate standard errors (specifically, the standard error of the intercept) for generalized least squares regression ...
1k views

### Significance of average correlation coefficients

I am using fMRI data (n=25) to predict performance on a behavioral task. At each of 12 time points, I train a linear model on data from n-1 subjects and use this model to predict the left-out subject'...
2k views

### How to calculate standard errors of a non-linear model prediction?

I'm trying to understand how to show the prediction error of a model fit in R using the non-linear least squares function nls. Although there is an argument ...
2k views

### Should the mean of the bootstrapped distribution always be asymptotically equal to the sample estimate?

Suppose I bootstrap the distribution of the sample mean. Normally, one would use the mean of the bootstrapped distribution as point estimate of the parameter and the s.d. as its standard error. The ...
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### Constrained Least Squares: Variance-Covariance/Std. Error Estimation

I'm looking to obtain standard errors for constrained linear model estimation. I'd like to be able to estimate standard errors and confidence intervals for the coefficients of $\beta'$ estimated via: ...
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### Standard deviation of error (SDE) application

There are standard deviation, standard error (SE), standard error of mean (SEM), then there is standard deviation of error (SDE) intended as a measure of error variability used in device measurement ...
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### Correcting for robust/clustered standard errors within the lm function or replacing the results

Cross posted on Stackoverflow with a bounty of 200. EDIT: I think I have to clarify this question a little bit more. So what I am looking for, is a function in which I can provide both the vcov matrix ...
222 views

### Zero-inflated negative binomial model standard error too high?

I've been trying to analyze count data for ant foragers visiting on extrafloral nectaries with R. My data is both overdispersed and zero-inflated, so I used a zero-inflated negative binomial model to ...
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### SEs in multivariate regression

To avoid confusion, my question refers to multivariate regression as multiple dependent variables for the same set of independent variables. As far as I understand (see e.g., this question), the ...
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### Why is the Neyman estimator for the variance of diff in means conservatively biased?

Numerous lecture slides and papers claim that the Neyman estimator for the variance of difference in means is conservatively biased (i.e., the estimate is larger than the true variance). I must be ...
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### Interpreting standard errors of linear regression with logged dependent variable

I'm running a linear regression with a logged dependent variable. This is the only variable in the model that is logged. For interpretation, I've exponentiated the coefficients, subtracted one, and ...
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### What is the estimate of $\mathrm{Var}\left(\frac{nM}{X}\right)$ where $X$ is hypergeometric?

Consider the classical capture-recapture method, where we are to estimate the number of deer (say) in a sanctuary. So a certain number of deer is captured, tagged and released. Then a random sample is ...
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### Using the Standard Error of Prediction in the presence of practice effects

I’m wondering about the following hypothetical scenario. There’s a student who previously scored 40% on an examination with a pass mark of 50%, a mean mark of 60%, SD of 10 and a reliability of 0.6. ...
253 views

### Should I use Student's t-distribution to evaluate my measurement's confidence interval?

I'm an experimental physicist who mainly needs statistics for the calculation of uncertainties/confidence intervals. Since my results are usually normally distributed, I simply take $N$ measurements ...
551 views

### My Tobit model gives all infinite standard deviations

I am trying to do a Tobit estimation (in R) because my dependent variable ranges from 0-100 with many values at a 100. ...
145 views

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### standard error & standard deviation (Poisson counts)

I observe 25 events over a period of 50 seconds. I assume that the events are generated by an underlying Poisson process. What is the standard deviation of the count? What is the standard error of ...
544 views

### Should instruments always weakly increase standard errors?

In OLS, are standard error estimates using some instrument $z$, different from $x$ always weakly larger than standard errors when not using instruments? This has been discussed before: Why is the ...
55 views

### standard error about the mean apply to other values?

Does the standard error (SE) estimate of the mean (SE = sigma/sqrt(n)) only apply to the mean, or can it be applied to any value in the fit normal distribution? For example, if estimated 95th ...
626 views

### Error in Linear Regression Parameters: Using mean measurement vs. all measurements

I have a set of measurements y taken at 17 different values of x, with 50 repeated measurements at each value of x. They follow a simple linear relationship y = mx + c, and I am fitting the parameters ...
350 views

### Standard Error of the ratio of Binomial variates

What's the right way to compute the Standard Error of the Mean of the ratio of two random variables that follow a binomial distribution? I asked a similar question here using Weibull distributions ...
677 views

### Numerical Approxmation of standard errors for parameter estimation in the EM algorithm

Generally, when you want to compute standard errors for estimated parameters within the ML framework, one uses the diagonal elements of the observed information matrix. In for instance ...
205 views

### How to calculate stnd error for sample proportion with finite population correction when N is a random variable?

A coworker in the health insurance field is pulling a random sample of patient charts who have attempted suicide for a standard government report. Every random sample requires manual chart review, ...
454 views

### How to calculate the standard error of an odds ratio from the standard error of two logits?

For example, given two logits and their standard errors: Logit = -3.1435, SE = 1.6847 Logit = -2.7581, SE = 0.9081 I can calculate the odds ratio to be exp(-2.7581 - -3.1435) = 1.47, but is there a ...
641 views

### Finding standard error of beta coefficients in ridge regression using lambda

I need to get the standard errors of coefficients with Ridge Regression, by calculating the SE of the beta estimates after I choose the right lambda. ...