Unanswered Questions
69,170 questions with no upvoted or accepted answers
29
votes
0
answers
2k
views
How does a Relevance Vector Machine (RVM) work?
Relevance Vector Machines (RVMs) are really interesting models when contrasted with the highly geometrical (and popular) SVMs.
In the light of a question like How does a Support Vector Machine (SVM) ...
- 2,996
26
votes
1
answer
1k
views
Bootstrapping Generalized Least Squares
Scenario:
Consider the use of bootstrapping to estimate the distribution of model parameters fitted per a linear or nonlinear generalized least squares model. In particular, assume there is a ...
CommunityBot
- 1
24
votes
1
answer
582
views
Blind source separation of convex mixture?
Suppose I have $n$ independent sources, $X_1, X_2, ..., X_n$ and I observe $m$ convex mixtures:
\begin{align}
Y_1 &= a_{11}X_1 + a_{12}X_2 + \cdots + a_{1n}X_n\\
...&\\
Y_m &= a_{m1}X_1 + ...
CommunityBot
- 1
24
votes
0
answers
767
views
Distribution of inverse Wishart to a power?
In a related question, I had asked about the norm induced by an inverse Wishart matrix. I am interested in generalizing that result somewhat. Let $A\sim\mathcal{W}_p\left(I,n\right)$, a Wishart matrix ...
- 65k
20
votes
0
answers
873
views
Is there a general expression for ancillary statistics in exponential families?
An i.i.d sample $X_1,\dots,X_n$ from a scale family with c.d.f. $F(\frac{x}{\sigma})$ has $S(X)$ as an ancillary statistic if $S(X)$ depends on the sample only through $\frac{X_1}{X_n},\cdots,\frac{X_{...
- 2,270
20
votes
1
answer
878
views
Physical/pictoral interpretation of higher-order moments
I'm preparing a presentation about parallel statistics. I plan to illustrate the formulas for distributed computation of the mean and variance with examples involving center of gravity and moment of ...
CommunityBot
- 1
18
votes
0
answers
369
views
Empirical Bayes (In)Admissibility
Most of the time, sticking to a pure Bayesian approach to statistics with proper priors, leads to admissible estimators.
Nevertheless, there is a good reason to use Empirical Bayes in many cases, and ...
18
votes
0
answers
11k
views
When should I use the Normal distribution or the Uniform distribution when using Xavier initialization?
Xavier initialization seems to be used quite widely now to initialize connection weights in neural networks, especially deep ones (see What are good initial weights in a neural network?).
The ...
18
votes
0
answers
2k
views
Implementation of CoVaR (a systemic risk measure) in R
I'm trying to estimate CoVaR using bivariate DCC GARCH in R. The concept of CoVaR is the dependence adjusted of VaR, which was first introduced by Adrian and Brunnermeier (2011). However, this ...
- 109
18
votes
0
answers
2k
views
Picking block length in a block bootstrap
I am using the Mann-Kendall test to assess trends in a data time-series. I believe there is autocorrelation in my data and therefore need to use a block bootstrap to correct for it. I have plotted ...
- 3,067
17
votes
0
answers
1k
views
Estimation of ARMA: state space vs. alternatives
I am interested in estimation of ARMA models. I understand that a popular approach is to write the model down in the state space form and then maximize the likelihood of the model using some ...
CommunityBot
- 1
17
votes
1
answer
720
views
Clustering & Time Series
I have a multivariate dataset that changes over time. I have extracted (and normalised) some features and used k-means to generate clusters over the entire span of the dataset.
Now I want to see ...
CommunityBot
- 1
16
votes
0
answers
3k
views
Gamma hurdle model for continuous response?
I am modelling invertebrate.biomass ~ habitat.type * calendar.day + habitat.type * calendar.day ^ 2, with a random intercept of ...
- 65k
15
votes
0
answers
495
views
Asymptotic property of tuning parameter in penalized regression
I'm currently working on asymptotic properties of penalized regression. I've read a myriad of papers by now, but there is an essential issue that I cannot get my head around.
To keep things simple, I'...
- 55.5k
15
votes
1
answer
478
views
Can I use optimally scaled variables for a factor analysis to account for rotation? If I can then how?
I have discussed this issue several times in this site, but I am asking it again for a final justification from the experts of our community. I wanted to extract four factors (I should call dimensions ...
CommunityBot
- 1