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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73 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 ...
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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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340 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 ...
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851 views

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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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 ...
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2k 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, ...
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740 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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135 views

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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1answer
114 views

How to calculate the standard error of the mean for circular data?

I followed the suggestions here to calculate the SD from circular data in the R circular package: How to calculate standard deviation of circular data However, I need the SE of the mean for a number ...
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62 views

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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661 views

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 ...
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234 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 ...
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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 ...
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1answer
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How do you calculate the standard error of $R^2$

I would like to confirm something. I know that $R^2$ (in a linear regression) can be found by taking the square of Pearson's $r$. The standard error of Pearson's $r$ is calculated using the ...
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527 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 ...
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288 views

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....
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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'...
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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 ...
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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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614 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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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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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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183 views

Wild cluster bootstrap after linear model with multiple fixed effects

I am running a linear model with multiple fixed effects. I suspect that there is spatial correlation in my data so I cluster the SEs (46 clusters). But I am worried that the standard errors generated ...
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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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1answer
83 views

Standard error in multiple regression

I want to calculate standard error of y-intercept or constant term in the multiple regression equation $Y = b_0 + b_1X_1 + b_2X_2$ I found the formula for standard error estimation of co-efficient $...
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68 views

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. ...
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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 ...
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38 views

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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609 views

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 ...
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301 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. ...
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191 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}} = \...
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163 views

When modeling a rate using Poisson regression, how can I incorporate the standard error for the rate?

I have a data set with age-standardized mortality rates per 100,000—along with the standard error for the rate—for all US counties. I also have various predictors, and would like to use multilevel ...
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481 views

Estimating standard error of Monte Carlo integration, non-MCMC version

Let us suppose that we're to evaluate the expectation of a random variable $h$ with respect to some distribution $\pi$, $\text{E}_{\pi}[h]$. The standard Monte Carlo estimate, using a sample of $X_1, ...
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286 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 ...
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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 ...
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574 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 ...
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554 views

Inverse probability weighting (IPW): standard errors after weighting observations

When using propensity scores for inverse probability weighting (IPW) the standard errors for the parameters in the regression model may be affected. I have seen several examples of people using ...
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594 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 ...
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198 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, ...
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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 ...
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449 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 ...
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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. ...
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3k views

How to calculate 'weighted' pooled/composite statistics for two given groups given group statistics

I have two sets of independent samples from the same distribution. For each, I have calculated sample weighted mean (u1, u2) sample weighted std deviation (d1, d2) sample weighted std error (e1, e2) ...
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276 views

Standard error computation with interaction term

I aimed at studying the effects of an exposure (E) on fetal growth estimated by repeated ultrasound measurements (n = 2 measures per participant in the following example). I used interaction terms of ...
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3k views

Manually computing bootstrap standard errors in the linear regression setting

I have written an R script for obtaining bootstrapped standard errors in the linear regression setting. In practice, first in a model building step I select the final model to be applied at each ...
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1k views

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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640 views

Standard error of estimates of covariance parameterized in tems of cholesky

In unconstrained optimization, covariance matrix $C$ is parameterized in terms of its Cholesky ($C=LL^\prime)$. In other words, the parameter vector $\theta$ involves elements of the lower triangular ...
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25 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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