Questions tagged [weighted-data]

Datasets where different pieces of data can have different "weights", i.e. different importance.

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8
votes
1answer
3k views

How is a Poisson rate regression equal to a Poisson regression with corresponding offset term?

I do not understand the role of weights in "weighted Poisson regression". What exactly is being weighted? Is it the contribution of the observation to the log-likelihood of the model, or something ...
19
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1answer
36k views

Weighted Variance, one more time

Unbiased weighted variance was already addressed here and elsewhere but there still seems to be a surprising amount of confusion. There appears to be a consensus toward the formula presented in the ...
19
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2answers
19k views

Weighted principal components analysis

After some searching, I find very little on the incorporation of observation weights/measurement errors into principal components analysis. What I do find tends to rely on iterative approaches to ...
19
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1answer
18k views

Such thing as a weighted correlation?

I have some interesting data on the most popular musical artists streamed divided by location into about 200 congressional districts. I want to see if it's possible to poll a person on his or her ...
25
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2answers
9k views

Bias correction in weighted variance

For unweighted variance $$\text{Var}(X):=\frac{1}{n}\sum_i(x_i - \mu)^2$$ there exists the bias corrected sample variance, when the mean was estimated from the same data: $$\text{Var}(X):=\frac{1}{n-1}...
10
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1answer
18k views

Correct equation for weighted unbiased sample covariance

I'm looking for the correct equation to compute the weighted unbiased sample covariance. Internet sources are quite rare on this theme and they all use different equations. The most likely equation I'...
8
votes
2answers
9k views

How to calculate the standard error of a proportion using weighted data?

I know the "textbook" estimate of the standard error of a proportion is $SE=\sqrt{\frac{p(1-p)}{n}}$, but does this hold up when the data are weighted?
5
votes
1answer
2k views

Weighted cases in a cluster analysis for cases in SPSS

I am conducting a cluster analysis (of cases) for a database which has weight attributed to the individual cases to ensure that it mirrors the general population in terms of sociodemographic ...
4
votes
1answer
533 views

PCA on count-based fractions, taking uncertainties into account

I'm looking to do a PCA analysis on count based data itself rather than averages. I'm hoping this will help for variable observation depths; for example, 3/4 reads is not really equivalent to 15/20. ...
0
votes
1answer
228 views

Include prior knowledge in regression model

I've a classical dataset with real attributes and I want to perform a regression. But, not all the entries in the training dataset are trustworthy; there is an attribute that I can turn into a ...
24
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2answers
46k views

Adding weights to logistic regression for imbalanced data

I want to model a logistic regression with imbalanced data (9:1). I wanted to try the weights option in the glm function in R, but I'm not 100% sure what it does. ...
9
votes
1answer
857 views

Weighted least square weights definition: R lm function vs. $\mathbf W \mathbf A\mathbf x=\mathbf W \mathbf b$

Could anyone tell me why I am getting different results from R weighted least squares and manual solution by matrix operation? Specifically, I am trying to ...
8
votes
3answers
6k views

Variance of weighted mean greater than unweighted mean

A reviewer of mine is asking for a reason why I have used unweighted data, instead of weighted data. I have discussed the issue with a statistician and his response was along the lines of If you ...
3
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2answers
2k views

Estimating Distributions of Weighted Data

I'm trying to build a bivariate copula-based model of income and wealth in Italy and I'm having trouble handling weighted data. I have access to micro data, a survey of about 10,000 households that ...
3
votes
1answer
218 views

Ranking with weighting amount of data

I'll try to ask this question in a form of a hypothetical: I have 10 different advertising spaces and I want to rank them according to their conversion rate (conversions/views). BUT, I have an uneven ...
3
votes
0answers
376 views

Does there exist a variant of ARIMA allowing for weighted samples?

I have a univariate time series exhibiting strong periodicity that I want to forecast, and I plan to use ARIMA. However due to specifics of the prediction task that I'm interested in performing, some ...
1
vote
1answer
84 views

Winsorizing propensity scores

Is it kosher? Inverse propensity weights (IPW) has been shown to perform poorly when selection probabilities are small (Kang and Schafer, 2007). Are there any standard solutions to this issue?
0
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1answer
60 views

Weighting prior proposals based on distance function in approximate Bayesian computation

The typical approach in approximate Bayesian computation (ABC) is to propose parameters from the prior, simulate data $\chi'_\text{sim}$ and then accept data that minimises the data misfit $\lambda$ ...