A Python module for exploration, testing, and estimation. Do not use this tag for general statistical modeling questions! Nb, questions only about the module itself, Python, or coding will likely be off topic.
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1answer
20 views
2-way ANOVA in Python statsmodels yields different Sum of Squares than SPSS
I am learning to use Python for my statistical analyses, and while figuring out how to perform a 2-way ANOVA with statsmodels I found that my Python code yielded slightly aberrant values. Comparing ...
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0answers
20 views
how to merge two different time series in pandas (with different variables) [closed]
How can I normalize mulitvariate timeseries categorical data for use with ARIMA models like varmax?
This question is not about the programmatic means of data wrangling, but rather about what exactly ...
1
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1answer
15 views
Apply statsmodels PCA to new data
I am working on a personal project, and I want to use Statsmodels' PCA on a dataset. The ultimate goal is to then perform a linear regression and evaluate its prediction. I know scikit-learn may be ...
0
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1answer
30 views
Ljung-Box test on a out of sample residue with good forecast
To test the fbprophet library, I created a very simple synthetic series and generated a model like this:
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3
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1answer
32 views
Appropriate Distribution for Survival Probability Parameters
I have a model that assumes a probability of survival over discrete time (example: decades)
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0
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1answer
40 views
zero inflated poisson iregression AIC values
Im trying to regress count data (DV). There are a few IV's both continuous and categorical. Frequency count of my DV as show below.Two groups , treatment and control. About 75 % are zeros.
...
0
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1answer
28 views
Tukey HSD plot_simultaneous - how does it work?
I have performed a Tukey HSD in Python. I am not sure what values are plotted when using the .plot_simultaneous() command (see statsmodels documentation).
The resulting plot is:
I am wondering: how ...
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0answers
34 views
Are these Granger-causality F-tests equivalent?
I am comparing results of a Granger causality implementation I wrote in Python to the established package statsmodels, and noticed that the equation implemented has a scaling factor equal to the ...
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0answers
12 views
How to interpret regression results when there are categorical independent variables? (statsmodels | python) [duplicate]
I'm using a toy dataset from sklearn and adapted it for a linear regression framework. In this example, I'm constructing a ...
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2answers
37 views
Is this linear model overfitting when I add more parameters?
I am trying to figure out if my models are overfitting. This is a trend I noticed with my actual dataset associating metadata with compositional data.
The more parameters I add, the better the ...
8
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2answers
5k views
Can we say 50% of data will be between 25th-75th percentile?
Let's say we have the following dataframe:
...
1
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0answers
20 views
How does Noise affect the results of Transfer Entropy?
I was reading about Transfer Entropy and came across this package: https://cran.r-project.org/web/packages/TransferEntropy/TransferEntropy.pdf
The code in the package:
...
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3answers
79 views
SARIMAX(1,0,0)(0,0,0,0): Regression with ARMA errors or ARMAX?
I'm trying to unravel the influences of various exogenous regressors on a time series dataset. I'm getting good results with a sarimax(1,0,0)(0,0,0,0) specification, but I'm confused about the ...
6
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1answer
118 views
The identity link function does not respect the domain of the Gamma family?
I am using using a gamma generalized linear model (GLM) with an identity link. The independent variable is the compensation of a particular group.
Python's statsmodels summary is giving me a warning ...
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0answers
21 views
Help me interpret a few lines of code and their results? (correlation analysis / CCA / Validation)
I have a few lines of code, using an R package to explore canonical correlation between two datasets. I really cannot make sense of the results, even if I read the documentation or academic articles ...
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0answers
47 views
ADF test and seasonal series
Hi I'm new in the time series field and so I've different doubts.
Considering this dataset https://archive.ics.uci.edu/ml/datasets/Individual+household+electric+power+consumption
And considering ...
1
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2answers
51 views
Nonlinear regressor in GLM link function
Try to reproduce Robert E. McCulloch and Ruey S. Tsay’s paper Nonlinearity in High-Frequency Financial Data and Hierarchical Models with local market data.
the paper uses GLM to model high-frequency ...
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0answers
81 views
Discussion of a parameter in the python statsmodels augmented Dickey Fuller test
I would like to use the adfuller test from statsmodels.tsa.stattools, but I'm not sure when to change the parameter ...
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0answers
31 views
How to make statsmodels treat timeseries values as continuous? [closed]
This is basically a copy of the stackoverflow question here, which never received an adequate answer. The problem is that the Python's statsmodels package insists ...
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0answers
21 views
Which model for testing “has this binary variable changed over time?”
I am trying to figure out if a list of historical documents (N=50) drifted from one value of a binary variable $w$ to the other. Users have given 1 to 5 votes whether they think they think the ...
3
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2answers
219 views
Why is gradient descent so bad at optimizing polynomial regression?
As part of a self-study exercise, I am comparing various implementations of polynomial regression:
Closed form solution
Gradient descent with Numpy
Scipy optimize
Sklearn
Statsmodel
When the ...
1
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2answers
88 views
1
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1answer
101 views
Interpretation of PACF and ACF plots [duplicate]
I am trying to fit an ARMA model to a time series of a power spectral density values that I have calculated.
Here is the plot of the data:
with corresponding autocorrelation and partial ...
0
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0answers
92 views
Convergence Warning while Determining the order of ARMA model using arma_order_select_ic
I have got around 150 companies returns' data and I am trying to determine the arma order of p and q for each company.
I came across the arma_order_select_ic function in the statsmodel library and ...
0
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1answer
36 views
Can log-likelihood of the data decrease when adding parameters in a linear mixed model?
I'm trying to fit different linear mixed models in the context of model selection. I'm using the StatsModel Python package in order to do that.
However, I encounter a very strange phenomenon. Say I ...
2
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0answers
343 views
Ljung-Box test p-values
I am using the Ljung-Box test from the python statsmodel package to test if there are autocorrelations in a time series.
To make sure I understand the test, I am performing it on white noise and ...
2
votes
1answer
28 views
model building - regression in statistical analysis
I have a theoretical question regarding model building. I have some real empirical data, but I will present the problem in more general terms.
I have two groups. I have a dependent variable, and an ...
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2answers
215 views
Mixed Effects Model with Pre-Post Dependent Variable
I have a dataset that most likely requires a mixed effects model, but which has a few quirks that make me want to confirm that my current modeling approach is correct.
Background
My DV is a ...
0
votes
2answers
612 views
statsmodels SARIMAX forecast has downward slope
I fit a statsmodels.tsa.statespace.sarimax.SARIMAX model (statsmodels==0.8.0) but I'm getting unexpected forecasting behavior, ...
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0answers
220 views
Running a Logistic regression - overflow error [duplicate]
I am running a logit regression and the "field1" is an existing list of 1's and 0's (which I am converting into a numpy list before passing as a parameter to Logit). I am trying to come up with a ...
0
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1answer
72 views
Possibility of performming Timeseries Modeling and forecasting on per second (high frequency data)
I want to perform an analysis on timeseries data which is measured per second.
To give some context, it is a data of temperature of air at the exit of air heater. Fluctuations in data are either due ...
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0answers
207 views
Interpret regression model actual vs predicted plot far off of y=x line
I'm working in Python with statsmodels. I estimate an OLS multiple regression model (n=10763; 12 predictors; r^2=0.29) The model coefficients all have signs pointing the correct theoretical direction ...
1
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1answer
120 views
Why does matrix condition number change drastically when a constant is added?
If I create a regression model design matrix with 3 uncorrelated variables, I get a small condition number as expected. MWE:
...
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2answers
208 views
Regression model constant causes multicollinearity warning, but not in standardized model
I'm working in Python with statsmodels. I have a response variable y and a design matrix X from which I have already removed the ...
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1answer
323 views
Difference in R-squared observed from statsmodels when WLS is used
Recently I have been trying to solve one of my problems with OLS and WLS respectively, and was trying to determine whether a weighted regression would be more suitable by comparing the R^2 value.
I ...
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0answers
14 views
Minimum how many variables required for running GzLM or GAM?
I am interested to find, out of 3 different traps (Treatment), which trap catching more insects (Responder). Data is not normally distributed and overdispersed.
Here is my data;
...
2
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0answers
1k views
Assessing A/B test results using Python
Problem's setting
Assume having results of an A/B test.
You let you users experience two variants of your website and you counted how many converted:
...
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2answers
2k views
Standard error of regression and of predictions in python (these are available in R) [closed]
I'm working with R and confirming my results in Python with the overwhelming majority of the work matching between the two quite well. There are two outputs coming out of R that I'm not seeing how to ...
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0answers
555 views
python StatsModels use training parameters for test data summary
I ran a linear regression on a month of hourly Nox concentration using StatsModels ols function. how can I get summary OLS Regression Results on the test data? I ...
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0answers
29 views
Conditional density distribution, two discrete variables
I have plotted the conditional density distribution of my variables by using cdplot. My independent variable and my dependent variable are not independent. Independent variable is discrete (it takes ...
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0answers
14 views
Analysis of power after filtering but before calculating t-statistic
Suppose I want to calculate many t-statistics from some arrays of data. The length n of these arrays changes depending on a filtering step I perform previously. ...
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0answers
284 views
How to report results of a polynomial regression with a discrete independent variable
I have been recently trying to fit a linear model to my data. The dependent variable is continuous and the independent variable is numeric and discrete. When I first test the assumptions concerning ...
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0answers
32 views
negation of AR params in statsmodels
In this documentation there is a mention that "due to the conventions used in signal processing used in signal.lfilter vs. conventions in statistics for ARMA processes, the AR paramters should have ...
2
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1answer
186 views
2
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0answers
108 views
Sampling a statsmodel KDEMultivariate
I have been exploring kernel density methods in statsmodel that allow categorical variables but it seems that, unlike scikit learn kernel density implementation, there are no methods to generate ...
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0answers
263 views
OLS regression using the CAPM model in python
I've checked several posts here and haven't found what I'm looking for... The goal is to do a CAPM regression and assume that you have the following information:
monthly prices for company AAPL, S&...
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0answers
190 views
Dynamic factor in statsmodels
I'm trying to use dynamic factor in statsmodels to estimate a model as following:
$y_{1,t} = \alpha_1 f_t + N(0, \epsilon_1)\\
y_{2,t} = \alpha_2 f_{t-h} + N(0, \epsilon_2)\qquad h \text{ is unknown}...
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1answer
268 views
In the ARMA model from the Python statsmodel library, what does the second order parameter represent?
I know ARMA is a combination of two models: The autoregressive model (AR) & moving average model (MA). Both models take up an order parameters which determines how many past data points will be ...
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0answers
141 views
Do you HAVE TO base Granger causality tests based on a time series model or can do the tests as standalone?
I would like to test a large number of economic time series for causal relationships on one another, on an exploratory, data-driven basis (as apposed to theory-driven).
Very often, wherever I have ...
2
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1answer
60 views
How can I program correction for multiple comparisons using lsmeans in R while not correcting for more than necessary
I posted this question on stack overflow here enter link description here but did not get useful feedback. So, I'll post it again here, in the hopes that this is a better venue for it.
I'm wondering ...
