Unanswered Questions
70,367 questions with no upvoted or accepted answers
25
votes
1
answer
641
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 + ...
24
votes
0
answers
808
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 ...
- 67.5k
21
votes
0
answers
915
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_{...
- 2,300
20
votes
0
answers
12k
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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 ...
20
votes
1
answer
914
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
404
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
2k
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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
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0
answers
2k
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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 ...
- 3,199
18
votes
1
answer
754
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
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
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16
votes
2
answers
342
views
Why is Binning, Weight of Evidence and Information Value so ubiquitous in the Credit Risk/Finance industry?
In the credit risk industry (and finance industry as a whole, at least here in the UK), there is a very common and accepted 'proper' way to build scorecards.
The general framework seems to be:
...
- 1
16
votes
0
answers
4k
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 ...
- 67.5k
16
votes
1
answer
489
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
15
votes
0
answers
610
views
Is the Wilcoxon two-sample test maximally powered to detect proportional odds alternatives?
We know from the literature that
The Wilcoxon-Mann-Whitney two-sample rank sum test is optimal for detecting simple location shifts when comparing two continuous random variables that each have a ...
- 78k
15
votes
3
answers
676
views
Adjustments to (Linear Regression) Forecast
Full disclosure: I am not a statistician, nor do I claim to be one. I am a lowly IT administrator. Please play gentle with me. :)
I am responsible for collecting and forecasting disk storage use ...
CommunityBot
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