Questions tagged [estimators]
A rule for calculating an estimate of a given quantity based on observed data [Wikipedia].
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Method of moments for t-distribution
The parameters of a t distribution can be estimated via
maximum-likelihood estimation (ML) or
method of moments (MM)
If we use the method of moments we have:
$$\mu=E(R)$$
$$\sigma^2=V(R)=\frac{\beta ...
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1
answer
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A constant as an admissible estimator
This is a homework question so I would appreciate hints. I believe I have the first part correct, but I fail to see how the second part is different.
Assume square error loss, $L(\theta ,a)=(\theta -...
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What is the difference between an estimator and a statistic?
I learned that a statistic is an attribute you can obtain from samples.Taking many samples of same size, calculating this attribute for all of them and plotting the pdf, we get the distribution of the ...
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1
answer
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Is high multicollinearity always an issue in OLS?
$$Y_t = a + bX_{1,t} + cX_{2,t} + dX_{3,t} + e_t$$
A high $R^2$ in $X_{1,t} = \alpha + \beta X_{2,t} + \gamma X_{3,t} + \varepsilon_t$ will always result in a higher standard error of the $b$ ...
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Quantile regression: Which standard errors?
The summary.rq function from the quantreg vignette provides a multitude of choices for standard error estimates of quantile regression coefficients. What are the ...
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0
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What are the main different/alternative correlation estimators?
I'm looking to learn about the main/popular alternatives when it comes to estimating correlations that I've missed in the following list. The best answer will provide a reference (can be Wikipedia), a ...
4
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0
answers
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What's the optimal way of measuring the error of quantitative estimates, across question sets?
My research relates to situations in which individuals make a quantitative estimate and then make a second quantitative estimate, perhaps after some manipulation. Minimally I am interested in ...
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Simple question about the asymptotics of estimators
Consider any arbitrary estimator called $\hat{M}$ (e.g., regression coefficient estimator or specific type of correlation estimator, etc) that satisfies the following asymptotic property:
$$\boxed{\...
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1
answer
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Quantile regression analyzing the conditional quantiles of one of the regressors?
Given response $Y_t$ and predictor $X_t$, we can use OLS to analyze the conditional mean; $E[Y_t | X]$. Quantile regression can be used to analyze the conditional quantile function; $Q(Y_t(\tau)|X)$. ...
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1
answer
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How can I estimate parameters of a convolution of an exponential and gamma?
Ideally, I would input a one-dimensional array of data, and output the estimates for the three parameters. I'm not very familiar with any statistics software but I have MATLAB (and all of the free ...
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What is a sparse estimator?
Can anyone point me to a reference, either book or paper, where I can find the precise definition of sparse estimator?
Thanks
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Newey-West standard errors with cross-sectional OLS?
Consider the cross sectional:
$Y_i = a + b X_i + e_i$
where I have reason to believe that $E[e_j e_k] \not= 0$ for a concerning number of $j\not= k$.
What happens if I use a serial correlation ...
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1
answer
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Conditional Expectation / Estimator Confusion
Let $X_1, X_2, X_3 \sim N(0, d^2)$ and $T = X_1^2 + X_2^2 + X_3^2.$
I have an estimator for $d$, $$\hat{d} = \frac{\sqrt{T\ 2\pi}}{4},$$
and another estimator for $d$, $$\tilde{d} = \frac{1}{3} \...
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What is the difference between a consistent estimator and an unbiased estimator?
What is the difference between a consistent estimator and an unbiased estimator?
The precise technical definitions of these terms are fairly complicated, and it's difficult to get an intuitive feel ...
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What is the relation between estimator and estimate?
What is the relation between estimator and estimate?