Unanswered Questions
70,235 questions with no upvoted or accepted answers
29
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Is there a general expression for ancillary statistics in exponential families?
An i.i.d sample $X_1,\dots,X_n$ from a scale family with c.d.f. $F(\frac{x}{\sigma})$ has $S(X)$ as an ancillary statistic if $S(X)$ depends on the sample only through $\frac{X_1}{X_n},\cdots,\frac{X_{...
25
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Physical/pictoral interpretation of higher-order moments
I'm preparing a presentation about parallel statistics. I plan to illustrate the formulas for distributed computation of the mean and variance with examples involving center of gravity and moment of ...
CommunityBot
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22
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648
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Empirical Bayes (In)Admissibility
Most of the time, sticking to a pure Bayesian approach to statistics with proper priors, leads to admissible estimators.
Nevertheless, there is a good reason to use Empirical Bayes in many cases, and ...
CommunityBot
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20
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Implementation of CoVaR (a systemic risk measure) in R
I'm trying to estimate CoVaR using bivariate DCC GARCH in R. The concept of CoVaR is the dependence adjusted of VaR, which was first introduced by Adrian and Brunnermeier (2011). However, this ...
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20
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How to compare two distance matrices?
Suppose that I have two distance matrices for the same set of items.
By a distance matrix I mean a square matrix whose (i,j)th entry holds the distance (in terms of cosine similarity) between ith and ...
CommunityBot
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19
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1
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How can I measure model performance with weighted logistic regression?
I am working with some survey data that uses probability weights. A number of sources explain that likelihood-based tests and fit statistics like likelihood-ratio, AIC, and BIC are not valid in the ...
CommunityBot
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18
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What is Shannon's source entropy?
Suppose that ${X_n; Y_n}$ is a random process with a discrete alphabet, that is, taking on values in a discrete set for $n$ data length. They correspond to the input and output of a communication ...
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18
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Time series regression with overlapping data
I am seeing a regression model which is regressing Year-on-Year stock index returns on lagged (12 months) Year-on-Year returns of the same stock index, credit spread (difference between monthly mean ...
17
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Rademacher complexity of logistic regression
Consider logistic regression. We have the logistic loss function,
$\phi: R\rightarrow [0,1], \phi(u)=\log(1+\exp(-u))$, which is Lipschitz, and we have the linear function class $F=\{f_w:R^d \...
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17
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Asymptotic property of tuning parameter in penalized regression
I'm currently working on asymptotic properties of penalized regression. I've read a myriad of papers by now, but there is an essential issue that I cannot get my head around.
To keep things simple, I'...
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16
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What is tantile regression?
My question follows on this discussion of medials and tantiles vs medians and quantiles from earlier this year:
When would we use tantiles and the medial, rather than quantiles and the median?
As ...
CommunityBot
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15
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Generalization of Fisher information for a discrete parameter
This is mainly a reference request. There must be some generalizations of the concept of Fisher information for discrete (say, integer-valued) parameters, and of related results such as the Cramer-...
CommunityBot
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15
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0
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547
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Penalized spline confidence intervals based on cluster-sandwich VCV
This is my first post here, but I've benefited a lot from this forum's results popping up in google search results.
I've been teaching myself semi-parametric regression using penalized splines. ...
- 13.9k
14
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Are these equivalent (for p-values): super-uniform, stochastically larger than / dominating the uniform, conservative?
In the literature and online, I have found three different wordings that I think refer to the same concept: stochastically larger than uniform (which I take is ...
CommunityBot
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14
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Convolutional neural network for multi-variate time series?
I want to use CNN architectures for classification of multivariate time-series, where we apply one label to each sequence.
I searched the net for the available designs in the literature and i found ...
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