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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5 views
VECM Impulse Response Function with log levels data
I'm looking for some helping interpreting the IRF of a VECM.
I have trained a VECM on a set of cointegrated log level daily time series using the [StatsModels implementation][1]. I decided to use a ...
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0answers
18 views
within-subject regression analysis
I have three levels (suppose A,B, and C) in my experiment and wish to do within-subject regression analysis. All the 3 levels are manipulated within-subject.
Also A is outcome category, B is outcome ...
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0answers
10 views
Scaling/Normalizing data in Stats Models [closed]
Is there a way to scale data in python's statsmodels? I've tried using standardscaler from sklearn, then plugging the data into statsmodels, but there's some kinks in the process that I can't yet ...
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0answers
15 views
Running multivariate multiple regression in statsmodels [closed]
I'm trying to run a multivariate multiple regression in statsmodels, as it gives more model details than sklearn. While I am able import a logistic regression function through 'import statsmodels.api',...
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0answers
39 views
How to use Partial Autocorrelation (PACF) to determine the exact seasonal period in SARIMA model
I am currently using PACF values to determine the length of seasonal period which are further used in fitting SARIMA model. I use 90-day history to forecast for 30 days. My current method is to ...
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1answer
42 views
Python ARIMA generates different predictions than SARIMAX for same orders
I was under the impression that Python Statsmodels SARIMAX with seasonal order parameters set to 0 will generate the same forecasts as ARIMA. But apparently the forecasts are wildly different. What ...
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0answers
42 views
Why are the critical values in coint_johansen in statsmodels in Python so different from the ones in ca.jo in urca in R?
When i run the same johansen test across Python and R I get very different critical values.
If I normalize the two columns in <...
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0answers
33 views
regression change point model
I am novice at best with linear regression models and I am interested to learn how to do a change point model in Python if possible. The data that I analyze is a years worth of electrical energy (kWh) ...
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1answer
45 views
Paired samples t test in Python
I'm trying to conduct a paired samples t-test in Python (statsmodels package), but I don't see a function for it in their documentation. The closest I can find is ttost_paired, but I don't think its ...
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1answer
65 views
Statsmodels' Negative Binomial: after .fit_regularized(), how to turn PMF into PPF to get the discrete values?
I used the package statsmodels to fit a Negative Binomial to my data. This data contains ~1500 samples with 21 covariates. Since I have overdispersion in my data ...
0
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1answer
90 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 ...
1
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1answer
46 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 ...
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1answer
41 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:
...
4
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1answer
37 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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1answer
43 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
73 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
75 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
13 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
48 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:
...
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0answers
21 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
140 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
votes
1answer
251 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
24 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
69 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 ...
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2answers
64 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
160 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
55 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
22 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
474 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
101 views
1
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1answer
216 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
158 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
43 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
522 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
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1answer
30 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
298 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
925 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
363 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
265 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 ...
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1answer
177 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:
...
0
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2answers
367 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 ...
1
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1answer
455 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
15 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;
...
4
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0answers
2k 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:
...
1
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2answers
3k 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 ...
0
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0answers
759 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
30 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
15 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. ...
