Questions tagged [computational-statistics]
Refers to the interface of statistics and computing; the use of algorithms and software for statistical purposes.
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Recycling MCMC samples for another data set from the same distribution
Suppose I'm given $\theta_0$ and I want to sample data from a density $f(Y|\theta_0)$ and then sample from the posterior of $\theta|Y$ (given, obviously, some prior). I want to do this lots of times, ...
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how to approximate the eigendecomposition of a correlation matrix when the data have been standardized?
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I am working to develop a penalized regression framework that will scale up to analyzing high dimensional data with a certain correlation structure. Let $X$ represent an $n \times p$ matrix of ...
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Why does the forecast for some series degrade when using a VARMA model comparing to independent ARMA models?
I am working with multiple time series that I suspect are correlated, and I have assumed that using a VARMA model would at least not degrade the forecasts of each series, if not improve them. However, ...
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Statistically determining a count of particles
I perform experiments to do measurements on various pharmaceuticals. One such measurement is interested in the number of particles which is confined into a small volume.
The raw data in my experiment ...
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Using Rao-Blackwell to improve the estimator of P(X/Y < t)
X and Y are independent N (0, 1) random variables, we want to approximate P (X/Y ≤ t), for a fixed number t.
The first part of the problem was to describe a naive Monte Carlo estimate. I described ...
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XGBoost with time lagged predictors
I have a prediction problem that involves an outcome $Y_t$ and predictors $X_t$ that vary with time $t$. I want to fit a regression of $Y_t$ on $(t,X_t)$ including also lagged versions of $X$, i.e., $...
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Estimating the alpha-support of a distribution [duplicate]
I want to estimate the $\alpha$-support ($S_{α}$) of a distribution, which is the minimum volume subset of the support $S$ of a probability distribution $P$ ($S= supp(P)$), that supports a probability ...
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How to compute the expected value of a function of a random variable given its log-density function? [closed]
Given a log-density function $\mathcal{L}f_{X}(x)$ of an 1d continuous random variable $X \in \mathcal{L}^{\infty}$ and an 1d polynomial function $h: \mathcal{I}(X) \to \mathbb{R}$, the expected value ...
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Wilcoxon Sign Rank Test with differing list lengths [closed]
I am running a Wilcoxon Sign-Rank test with two lists. One contains 5 elements and the other contains 6. They were taken from the same place but under different conditions. I am trying to compute the ...
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Sampling from a very high dimensional Gaussian
I would like to a sample from a Gaussian $N(0,K)$ where $K$ is a kernel gram matrix, so that $K=[K_{ij}]$ with $K_{ij} = k(x_i,x_j)$ for some positive definite function $k$. The first issue is that ...
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False negative B coefficient following multiple linear regression? [duplicate]
I'm running a linear regression in SPSS to test for effects of a binary variable (X) on cost of hospital admission. The variable is correlated with a cost increase of around $3000W
When the model has ...
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Expectation and variance of bivariate skew normal distribution
I am fitting a bivariate skew normal distribution to a 2D data through the sn package in R. I get a $2 \times 1$ vector of ...
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Metropolis-Hastings on domain $(2, \infty)$
I'm trying to understand the Metropolis Hastings algorithm in depth by solving some exercise problems. On one of them, I'm asked to use MH to generate samples from
$$f(x) = c \frac{1}{\theta}e^{-\frac{...
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Reference datasets for conditional density estimation
[In case you feel inclined to close this question because I'm asking for a dataset - I'm looking for solutions in the spirit of point 2 (on-topic) in the accepted answer to this question about asking ...
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Check if a coin flips randomly, but it can have a different number of sides each toss
I would like to check if a coin flips randomly, based on observational data. The catch is, the coin can have two sides, but also three, four, up to nine. The number of sides differs in each ...
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