Unanswered Questions
29
votes
0answers
2k views
+100
Degrees of freedom of $\chi^2$ in Hosmer-Lemeshow test
The test statistic for the Hosmer-Lemeshow test (HLT) for goodness of fit (GOF) of a logistic regression model is defined as follows:
The sample is then split into $d=10$ deciles, $D_1, D_2, \dots ...
20
votes
0answers
637 views
Switch from Modelling a Process using a Poisson Distribution to use a Negative Binomial Distribution?
$\newcommand{\P}{\mathbb{P}}$We have a random process that may-or-may-not occur multiple times in a set period of time $T$. We have a data feed from a pre-existing model of this process, that provides ...
19
votes
0answers
442 views
Does $K$-fold CV with $K=N$ (LOO) provide the MOST or LEAST variable estimates, and what is the role of “stability”?
TL,DR: It appears that, contrary to oft-repeated advice, leave-one-out cross validation (LOO-CV) -- that is, $K$-fold CV with $K$ (the number of folds) equal to $N$ (the number of training ...
19
votes
0answers
244 views
How can we simulate from a geometric mixture?
If $f_1,\ldots,f_k$ are known densities from which I can simulate, i.e., for which an algorithm is available. and if the product $$\prod_{i=1}^k f_i(x)^{\alpha_i}\qquad \alpha_1,\ldots,\alpha_k>0$$ ...
17
votes
1answer
247 views
Jaynes' $A_p$ distribution
In Jaynes' book "Probability Theory: The Logic of Science", he has a chapter (Ch 18) entitled "The $A_p$ distribution and rule of succession" in which he introduces the idea of $A_p$ distribution; ...
16
votes
0answers
253 views
Is there a clear set of conditions under which lasso, ridge, or elastic net solution paths are monotone?
The question What to conclude from this lasso plot (glmnet) demonstrates solution paths for the lasso estimator that are not monotonic. That is, some of the cofficients grow in absolute value before ...
16
votes
0answers
606 views
Link Anomaly Detection in Temporal Network
I came across this paper that uses link anomaly detection to predict trending topics, and I found it incredibly intriguing: The paper is "Discovering Emerging Topics in Social Streams via Link Anomaly ...
15
votes
1answer
688 views
$ARIMA(p,d,q)+X_t$, Simulation over Forecasting period
I have time series data and I used an $ARIMA(p,d,q)+X_t$ as the model to fit the data. The $X_t$ is an indicator random variable that is either 0 (when I don’t see a rare event) or 1 (when I see the ...
14
votes
1answer
788 views
Distribution of the convolution of squared normal and chi-squared variables?
the following problem came up recently while analyzing data. If the random variable X follows a normal distribution and Y follows a $\chi^2_n$ distribution (with n dof), how is $Z = X^2 + Y^2$ ...
13
votes
0answers
253 views
Wavelet-domain gaussian processes: what is the covariance?
I've been reading Maraun et al, "Nonstationary Gaussian processes in wavelet domain: Synthesis, estimation, and significant testing" (2007) which defines a class of non-stationary GPs that can be ...
13
votes
0answers
2k views
Confusion with Vowpal Wabbit's multiple-pass behavior when performing ridge-regression
I have encountered many peculiarities/misunderstandings of Vowpal Wabbit when trying to do online multiple-pass learning.
Specifically, I need to solve a Ridge Linear regression problem, with ...
13
votes
0answers
1k views
Simulating time-series given power and cross spectral densities
I am having trouble generating a set of stationary colored time-series, given the covariance matrix (their PSDs and CSDs).
I know that, given two time-series $y_{I}(t)$ and $y_{J}(t)$, I can ...
13
votes
1answer
13k views
Testing for statistically significant difference in time series?
I have the time series of the prices of two securities, A and B, over the same period of time and sampled at the same frequency. I would like to test whether there is any statistically significant ...
12
votes
0answers
266 views
State of art streaming learning
I have been working with large data sets lately and found a lot of papers of streaming methods. To name a few:
Follow-the-Regularized-Leader and Mirror Descent:
Equivalence Theorems and L1 ...
12
votes
2answers
398 views
A potential confound in an experiment design
Overview of the question
Warning: This question requires a lot of set-up. Please bear with me.
A colleague of mine and I are working on an experiment design. The design must work around a large ...
