All Questions

1
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1answer
24 views
+50

How to measure the consistency of improvement on different conditions?

I want to measure whether the speed improvement of method 1 over method 2 is consistent on different conditions. Below are two examples of the speedup values of method 1 over method 2 on 5 conditions. ...
3
votes
1answer
123 views

Does a log transform always bring a distribution closer to normal?

I have a highly right skewed data set with a large range of values (from 1 ~ 10^6) (can't share the actual data for work related reasons). When I plot the log of the data instead, the distribution ...
0
votes
0answers
2 views

Why do we even need Integrated Quarticity?

I don't quite understand why we need $IQ = \int_{t-1}^{t+1} \delta_s^4 ds$, therefore the equivalent $RQ \equiv \frac{3}{M}\sum_{i=1}^Mr_{t,i}^2$ doesn't the realised volatility enough? what else ...
1
vote
1answer
20 views

what does it mean to run a time series model in levels?

I have seen the phrases running a var in levels and running a var in difference in very high frequency, either on this site or elsewhere. I understand running a var in difference basically means to ...
0
votes
1answer
27 views

Why am I getting an 'explosive' GARCH on this series?

I am fairly new to time series econometrics and I am working with the following series: I want to model the in-sample second moments. I am not super sure that this is stationary, but I rely on the ...
0
votes
0answers
10 views

eviews augmented dickey fuller lag selection

Can someone tell me how does eviews calculate teh optimal Schwarz lag selection? I did a quick search this https://en.wikipedia.org/wiki/Bayesian_information_criterion is this the same method that ...
2
votes
1answer
7 views

Formal Definition of Tree-Consistent

I am working my way through this paper on Bayesian Hierarchical Clustering. I keep seeing the phrase tree-consistent. However, it doesn't seem to be defined anywhere in the paper. There is a ...
0
votes
1answer
175 views

Methodological question: adjusting for confounders in logistic regression

I have three attributes in a dataset (D0), representing the binary response of success or failure (R), some form of treatment or treatment group (T), and a potential confounder (C) respectively. ...
8
votes
3answers
6k views

Is p-value also the false discovery rate?

In http://surveyanalysis.org/wiki/Multiple_Comparisons_(Post_Hoc_Testing) it states For example, if we have a p-value of 0.05 and we conclude it is significant the probability of a false discovery ...
0
votes
0answers
5 views

Can a linear and logit model have the same shape?

While I was working on an exercise based this book, I discovered something interesting. When I fit a logit and simple linear probability model on the data (see code below), the predictions are almost ...
0
votes
0answers
8 views

Multilevel modeling: many groups, mostly one sample each

I have a modeling problem in which customers can have multiple accounts on a website. Roughly speaking, 50% of customers have one account, 25% have two accounts, 12.5% have three accounts, etc. There ...
0
votes
1answer
4 views

Ensemble learning for multiple hypothesis classes

Just to confirm if the following description falls in the category of ensemble learning. Suppose given a training set $D=\{(X,Y)\}$ we are asked to train a regressor. But now the way we do it is to ...
0
votes
0answers
9 views

Writing equation of Neural Network model

I am very new to neural networks. My goal is to replace my multivariate regression model with NN and use its output to perform mathematical optimization in order to identify the values of the input ...
1
vote
1answer
16 views

Intuition behind product distribution pdf

Say we have two distributions $X$ and $Y$. I know that the pdf of the distribution $Z = X + Y$ is given by: $f_Z(z) = \int_{-\infty}^{\infty}f_X(x)f_Y(z-x)dx$ The intuition is that you sum up the ...
0
votes
0answers
3 views

two sample t-test for placebo adjusted values

I have a set of studies (ex: s1....s6) in which each has two arms, a treatment and a placebo. I would like to test for non-inferiority through a matrix of two-sample t-tests w/o accounting for ...
0
votes
0answers
5 views

Proof that estimator in overfitted model is still unbiased

Assume that the true population model is given by $y=x'\beta+\epsilon$, where $x$ and $\beta$ are k-dimensional vectors, and suppose that when performing a linear regression, we accidentally overfit ...
0
votes
1answer
6 views

Can a dummy variable be used to correct ARCH?

Is it possible to use a dummy variable to allow for a structural break, in order to correct Autoregressive Conditional Heteroscedasticity?
0
votes
0answers
14 views

Converting log transformed and differenced time series back into original in R

I have built a Garch model in R based on taking a log transformation and a one order difference on the original time series. I would like to know how develop a forecast based on the Garch model for ...
0
votes
0answers
13 views

Different set of predictors significant for different sample sizes - how to interpret results?

So I am trying a GARCH framework with external regressor(s) to predict returns. The external regressor, $y$, intuitively has useful lags that could predict the response. I'm slowly accumulating data ...
1
vote
1answer
68 views

GLMM summary and multcomp differences

Thanks for taking the time to read my question. I am using R to run a GLMM because I have taken repeated measurements on 100 individuals. The explanatory variable it is a proportion so I am using ...
2
votes
1answer
22 views

Residual Bootstrapp based on GARCH models with student-t distributed innovation

I want to generate 500 simulations of my original return time series. My original return series (n = 4000) exhibits significant serial autocorrelation at lag 1 & 2, is non-normally distributed (...
0
votes
0answers
3 views

Specification of a difference-in-differences model in r

I am working through a difference-in-differences model. While I've learned a good deal browsing SE, I'd like to hear from someone more experienced with fixed effects if my model is correctly specified....
0
votes
0answers
19 views

Defining fixed effect and random effect in glm model

I'm unconfident that whether my understanding on fixed effect and random effect is correct: Fixed effect= variable that make inferences about the specific levels. Random effect= variable that make ...
0
votes
1answer
41 views

Cox's Proportional Hazard coefficients clarification

I'd like a clarification about the Cox proportional hazard coefficients reported on this page. For example, doesn't the hazard ratio (HR) for gender in that ...
4
votes
1answer
49 views

Conditional mean and co-variance in $VAR(p)$ conditional on one lag only

Suppose I have a $p$'th order vector auto regression $$\vec Z_t = F_1\vec Z_{t-1}+F_2\vec Z_{t-2} + \cdots +F_p \vec Z_{t - p} + \vec \epsilon_t,\qquad \vec\epsilon_t\sim N_q(\vec0,Q)$$ where $...
4
votes
2answers
129 views

Proving $\Gamma\left(\frac{1}{2}\right)=\sqrt\pi$ using the expected value of standard normal variable

I'm looking to prove that $\Gamma\left(\frac{1}{2}\right)=\sqrt\pi$ using the fact that $E(Z^2)=\int_{-\infty}^{\infty} \frac{1}{\sqrt{2\pi}}e^{\frac{-z^2}{2}} z^2\, dz$ (where $Z$ is a standard ...
1
vote
0answers
20 views

Prediction interval of Y given AR model for log(Y)

I have been given an AR model with seasonal variation. \begin{equation} (1-\theta_1B)(1-\theta_2B^8)(log(Y_t)-\mu)=\epsilon_t \end{equation} Setting $X_t=log(Y_t)-\mu$ one gets the following \begin{...
0
votes
0answers
13 views

Simulating AR/MA Process and forecasting it

I'm trying to simulate an AR and a MA process separately. I found the ACF and PACF as well. If now I want to forecast for one time period ahead, can I do that with a simulated time series in R, if ...
0
votes
0answers
5 views

How to combine Benjamini-Hochberg with statistical power?

Suppose I am investigating a question which involves many statistical T-tests. The normal Benjamini-Hochberg procedure tells me how to control the false discovery rate. However, suppose that some or ...
2
votes
2answers
177 views

Finding Pareto distribution's Kurtosis

I have no clue how to solve this question: Questions: Given that each of a,b,c,d and e is a digit from {0,1,2,3,...,9} and f is an alphabet from {A,B,C,D,...,Z} X has a Pareto distribution with ...
1
vote
0answers
5 views

In the summary of output of the regression analysis in R, is there a way to display categorical variable with just one coefficient

I am doing a linear regression analysis in R with logarithmic dependent variable. One of the control variables is categorical and describes an industry. There are 6 industries and thereby R ...
2
votes
3answers
4k views

SARIMA model equation

Can someone please tell me in the book here how is this SARIMA equation obtained? I know that AR(1)=$Y_t=\alpha_1Y_{t-1}+e_t$ Non Seasonal AR(1)=> $Y_t(1-\alpha_1B)=e_t$. My question is what ...
0
votes
1answer
11 views

Two Approaches to Calculate the Variance of a Sum

I came across a problem today in which it indicated the weight of a baseball $X$ has mean 5 and variance $4\over25$. It then indicated a carton contains 144 baseballs, and we are to obtain $T$ the ...
1
vote
1answer
30 views

Survival analysis for fixed time period licencing

I need to predict attrition of customers who use product that has fixed time period (1 year) licence. I have monthly feature usage data, for example the product has 5 features f1, f2, f3, f4 and f5, I ...
0
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0answers
5 views
0
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0answers
4 views

Implementing Moran's I through markcorr in R package Spatstat

I am trying to analyse a set of replicated point-patterns, where a fixed number of points are distributed non-randomly in space. The package spatstat has methods to pool spatial objects, which has ...
1
vote
1answer
28 views

Multi-year and multi-location correlation or regression?

I have fire activity data (i.e. number of fires) and a series of factors (e.g. precipitation, tree cover loss, distance to nearest forest, etc...) that can potentially explain it. I have all this data ...
0
votes
0answers
10 views

Gaussian Kernel for SVM

I have recently learnt about use of kernels in SVM. I encountered a question but I am unable to visualize how it can work. The question is to give an example of data points (like in a 2D plot) for a ...
0
votes
0answers
9 views

Multivariate meta-analysis without individual patient data

Here is what I have. I have the results of 20 studies ($i=1,\dots,20$). For each study $i$, I have 6 outcomes $y_{ij}$ ($j=1,\dots,6$) and the within-variance of outcome $j$ in study $i$ $\sigma_{ij}^...
0
votes
0answers
3 views

Making a Surface plot using plotly [on hold]

I am using the sample code to make surface plots in python3 using plotly. The sample code from plotly is: ...
0
votes
0answers
2 views

Deviance (or log likelihood) on a new dataset using glm in R

I fit a generalized linear model using glm in R. I know R outputs deviance on the training set. Is there a way to compute the deviance or log likelihood on a test dataset?
0
votes
0answers
126 views

Approximating expectation with Taylor series

I want to get the second-order Taylor approximation for an expectation. I have the following distribution, which is a Generalized Dirichlet distribution with parameters $\boldsymbol\alpha$ and $\...
1
vote
1answer
8 views

Post-hoc testing for cumulative link mixed-effects model with interactions in R

I'm a resident physician working on my doctor's thesis and I'm trying to analyse data from a survey with R. I have basic mathematic and rookie statistics skills. Participants of the survey have been ...
0
votes
0answers
5 views

Find the number of misclassification [on hold]

I have a question in quiz what is the leave one out cross validation error for 1 knn and 3 knn on this dataset. the number of misclassifiactions.
1
vote
0answers
22 views

Why high dimensional data is multi-collinear?

As the number of predictors (P) approaches the number of observations (N), the data becomes increasingly collinear. Also, If <...
0
votes
1answer
10 views

Comparing data sets of varying sizes

Suppose I want to compare the similarity of 2 data sample sets (a and b). Data set a has 13 data points and data set b has 1000 data points. For each data set, I compute a metric z (like the mean). ...
0
votes
1answer
184 views

Model with factor scores as variables vs original?

I am new to this so please bear with me. I have two models, an original one with many variables, and a new one where I extracted 5 factors. I used both for a cox regression, and the model in which I ...
2
votes
0answers
16 views

Can we estimate the mean of an asymmetric distribution in an unbiased and robust manner?

Suppose I have i.i.d. samples $X_1, \cdots, X_n$ from some unknown distribution $F$ and I wish to estimate the mean $\mu=\mu(F)$ of that distribution and I insist that the estimator be unbiased - i.e.,...
1
vote
1answer
184 views

Multi-level, creating second level variable

I have some trouble coding my data for multi-level analysis. I'm doing research on test results of children. These children are grouped within classes, within schools. I'm using class as the highest ...
2
votes
1answer
34 views

Sklearn 'Seed' Not Working Properly In a Section of Code

I have written an ensemble using Scikit Learn VotingClassifier. I have set a seed in the cross validation section. However, it does not appear to 'hold'. Meaning,...

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