All Questions
Tagged with nonparametric estimation
59
questions
77
votes
15
answers
12k
views
Why would parametric statistics ever be preferred over nonparametric?
Can someone explain to me why would anyone choose a parametric over a nonparametric statistical method for hypothesis testing or regression analysis?
In my mind, it's like going for rafting and ...
- 947
19
votes
1
answer
5k
views
What is "Targeted Maximum Likelihood Expectation"?
I'm trying to understand some papers by Mark van der Laan. He's a theoretical statistician at Berkeley working on problems overlap significantly with machine learning. One problem for me (besides ...
- 311
12
votes
1
answer
257
views
What is the name of the density estimation method where all possible pairs are used to create a Normal mixture distribution?
I just thought of a neat (not necessarily good) way of creating one dimensional density estimates and my question is:
Does this density estimation method have a name? If not, is it a special case of ...
- 6,840
10
votes
2
answers
9k
views
Advantage of kernel density estimation over parametric estimation
Is there any particular reason you will choose the kernel density estimation over the parametric estimation? I was learning to fit distribution to my data. This question came to me.
My data size is ...
- 101
9
votes
5
answers
2k
views
Density estimation methods?
What non-/semiparametric methods to estimate a probability density from a data sample are you using ?
(Please do not include more than one method per answer)
9
votes
3
answers
2k
views
Different non-parametric methods for estimating the probability distribution of data
I have some data and was trying to fit a smooth curve to it. However, I do not want to enforce too many prior beliefs or too strong pre-conceptions (except the ones implied by the rest of my question) ...
- 6,926
8
votes
2
answers
2k
views
What inferential method produces the empirical CDF?
The empirical cdf is an estimate of the cdf. What kind of estimation method (such as method of moments, MLE, ...) constructs the empirical cdf?
Is the empirical cdf a nonparametric estimate? Do ...
- 19.6k
8
votes
1
answer
2k
views
What practical application is there for the Asymptotic Mean Integrated Squared Error in kernel density estimation?
Introduction
For some time now I have been struggling to understand how theoretical results can be applied in practice. Fortunately in most cases the link between theory and practice is not hard to ...
8
votes
1
answer
677
views
Computing inverse probability weights -- conditional (multivariate) density estimation?
The general version:
I need to estimate $f(A | X)$ where $A$ and $X$ are continuous and multivariate. I'd rather do it nonparametrically because I don't have a good functional form in mind and $\hat{...
- 12.8k
7
votes
1
answer
214
views
Estimating the functional form of the slowly time-varying variance of a Gaussian process
Consider the following simple set-up. In the interval $[0, 1]$ we are observing the realizations of independent normally distributed random variables at times $t_1,\ldots, t_N$. The r.v. $X(t)$ has ...
- 5,630
6
votes
2
answers
296
views
Regression with flexible functional form
I am assuming a model of the form
$$Y_i=\alpha+\beta X_i+g(\mathbf{Z}_i)+\epsilon_i,$$
here $\mathbf{Z}_i$ is an $m$ dimensional vector and $\epsilon_i$ is i.i.d. white noise. I would like to ...
- 340
6
votes
1
answer
209
views
Estimating a distribution from above/below observations
Let $P$ be an unknown distribution on $(-\infty,\infty)$. Let $X_1,\ldots,X_n$ be an iid sample from $P$. Let $c_1,\ldots,c_n\in(-\infty,\infty)$ be a known set of constants. We observe $Y_1,\ldots,...
- 1,717
6
votes
4
answers
2k
views
Nonparameteric multivariate density approximation -- where do I start?
I am currently working on a research project that requires a reliable method for non-parametric kernel density estimation. Some specifics about my problem:
I have $N$ sample points $X_1,X_2...X_N$, ...
- 5,075
6
votes
2
answers
2k
views
Estimate population quantiles from subpopulations' quantiles
Suppose there is a population partitioned arbitrarily into a set of subpopulations that completely cover the original population. Assume that for some variable, we know each subpopulation's quintiles ...
- 205
6
votes
1
answer
301
views
A question on a non-parametric estimating equation
This is a question that arose from studying Hogg and Craig "Introduction to Mathematical Statistics",7th edition, pg 568.
It is assumed that we have taken a random sample of $X_1,\ldots,X_{n1}$ and a ...
- 20.8k