All Questions
Tagged with nonparametric time-series
37
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Singular Spectrum Analysis Decomposition on single input signal using PyTS module
I read this paper and was curious to apply it on a single-channel audio recording of mixed sources. It is about Singular Spectrum Analysis (SSA).
The paper mentions that a key component of the ...
1
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2
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82
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Are t-tests good choices here?
I would like to test if two groups of participants (dark-eyed and light-eyed individuals) respond to a drug differently over time. The hypothesis is that the drug reaches its peak effects sooner but ...
- 13
2
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0
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171
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Cross-validation on the HP filter for penalty selection
I'm looking for a bit more clarification on the selection of the $\lambda$ value for the Hodrick-Prescott Filter, aka HP filter. Which stems from a time-series in the form of
$$y_t=g_t+\epsilon_t$$
...
- 569
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55
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Spearman's Rho for Dependent Samples Measured at Time Windows
I have conducted a study where I have collected dependent data (not i.i.d) from 10 participants, measuring variables X and Y from the participants at various time-windows. Thus I have n=350, for ...
- 101
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42
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K-sample test for equality of distribution in time series
I have a set of time series, with potentially very weird behavior (i.e. I'd prefer to make as few observations about them as possible, apart from stationarity, and don't want to model the time series ...
- 1,135
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580
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GAM Model: How can I fit GAM Model for daily count variable in the time-series dataset?
I am trying to apply GAM Model on one Health Claims Dataset (from 2007 to 2018), trying to find the association between daily hospital admissions of heart diseases) and temperature.
all: daily number ...
- 37
2
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53
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Linear model with partially time-varying coefficients
Suppose we have a linear model with time-varying coefficients
$$
y_i = x_i' \beta_{t_i} + \epsilon_i, \; i = 1, 2, \cdots, n
$$
where the design points are $t_i = \frac{i}{n}$, and $\beta(t): [0,1] \...
- 3,348
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451
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35
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Which statistical parameter can be used to indicate how variable two signals are?
Apart from approaches like Fourier transformation, Power spectrum or wavelets etc:
Which statistical parameter / value can I use to distinguish the two signals below?
Both have practically the ...
- 11
4
votes
1
answer
2k
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Is it appropriate to examine the density plot for time series data?
Usually we use time plot to examine the behaviour of time series data cause it reveals the chronological characteristic. Does it make sense that one looks at the data distribution using some non-...
- 120
4
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1
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54
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R: How can I represent partially-ordered time series in R?
I believe that this is a statistics rather than a programming question, though I am tied to an R implementation and hope for a reply in kind.
I have data that constitutes several time series. I ...
- 3,157
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90
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Can Time Varying Coefficient models with a Kalman filter approximate any non-linear function?
I read that Time Varying Coefficients (TVC) models with non-parametric methods can approximate any non-linear function. This is from "Non-Linear Models: Where Do We Go Next - Time Varying Parameter ...
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32
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2
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746
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StackExchange fires a moderator, and now in response hundreds of moderators resign: is the increase in resignations statistically significant?
I am doing a study on StackExchange. The management of StackExchange has demodded (for unclear reasons) a moderator, and now the network is on fire.
Currently many moderators resign or suspend their ...
- 82.2k
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894
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Understanding Sharpe Ratio Hypothesis Testing - Ledoit + Wolf
I've been poring over this paper written by Ledoit and Wolf regarding their approach to constructing hypothesis tests for Sharpe Ratios.
In short, they see that running circular block bootstrap ...
- 41
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Comparison between series of two continuous monitor sampling the same parameter
Object: understand if the series collected by two dirrerent continuous samplers on the same sample are equivalent.
General description: I have two different continuous monitors, determinating the ...
- 11