Unanswered Questions

72,391 questions with no upvoted or accepted answers
25 votes
2 answers
723 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 + ...
25 votes
0 answers
892 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 ...
23 votes
0 answers
988 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_{...
22 votes
0 answers
14k 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 ...
20 votes
1 answer
935 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 ...
19 votes
0 answers
429 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 ...
19 votes
1 answer
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 ...
19 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 ...
19 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 ...
18 votes
1 answer
807 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 ...
17 votes
0 answers
651 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 ...
17 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 ...
17 votes
1 answer
850 views

How can I measure model performance with weighted logistic regression?

I am working with some survey data that uses probability weights. A number of sources explain that likelihood-based tests and fit statistics like likelihood-ratio, AIC, and BIC are not valid in the ...
16 votes
0 answers
1k views

what is the mistake of convergence proof in Adam

Sashank J. Reddi et. al in their paper "On the convergence of Adam and beyond" say that, Adam's proof of convergence as stated in original paper is wrong. More than that, they point out that the value ...
16 votes
0 answers
334 views

What is tantile regression?

My question follows on this discussion of medials and tantiles vs medians and quantiles from earlier this year: When would we use tantiles and the medial, rather than quantiles and the median? As ...

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