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rbm
  • Member for 10 years, 8 months
  • Last seen more than 1 year ago
18 votes
2 answers
12k views

Are a sum and a product of two covariance matrices also a covariance matrix?

10 votes
2 answers
42k views

Prove expression for variance AR(1)

9 votes
2 answers
30k views

Covariance matrix of least squares estimator $\hat{\beta}$ [duplicate]

5 votes
1 answer
4k views

Studentized residual distribution

5 votes
1 answer
2k views

Hausman test for Independence of Irrelevant Alternatives (IIA), negative value

5 votes
1 answer
76 views

Normal with mean unequal to zero squared

5 votes
0 answers
468 views

AR(1) model - which prior to use?

5 votes
1 answer
2k views

Standardized residuals vs fitted values: OLS assumptions satisfied?

4 votes
1 answer
2k views

Priors for Truncated Parameters - RJAGS

4 votes
2 answers
1k views

How to specify a state space model with cycle in this case?

4 votes
1 answer
4k views

MSPE formula - is the number of variables not important?

3 votes
1 answer
1k views

Why is an ARMA model a parsimonous approximation of an AR model?

3 votes
1 answer
995 views

Models for fat tails

3 votes
1 answer
2k views

Skewness - why is this distribution right skewed?

3 votes
1 answer
1k views

Monthly realized variance, different number of observations per month

2 votes
1 answer
4k views

Prediction variance in R

2 votes
1 answer
128 views

Does this GARCH specification take into account the variance?

2 votes
1 answer
156 views

Meaning of a higher out-of-sample $R^2$ but also a higher MSPE

2 votes
1 answer
946 views

Forecast bayesian GARCH model

2 votes
1 answer
365 views

State space models in dlm package - how to add a non time-varying constant?

2 votes
1 answer
3k views

Calculate the error variance in a linear regression model

1 vote
0 answers
481 views

Derivation of the Bivariate normal distribution using change-of-variable technique

1 vote
1 answer
2k views

$Cov(\hat{\epsilon})$ in a linear regression model

1 vote
1 answer
296 views

Can Jags be used to fit classical inference state space models?

1 vote
1 answer
493 views

Daily data, different dates

1 vote
0 answers
49 views

Simultaneous Equation Model (SEM): is the following system identified?

1 vote
0 answers
1k views

Pooled OLS vs Random Effects difference in coefficients

1 vote
0 answers
297 views

Multinomial logit coefficient interpretation confusion

0 votes
0 answers
41 views

Which curve is the best fit, in terms of having the same shape as the actuals series?