Unanswered Questions
71,519 questions with no upvoted or accepted answers
25
votes
0
answers
1k
views
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_{...
CommunityBot
- 1
22
votes
1
answer
1k
views
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
- 1
21
votes
0
answers
809
views
Is the Wilcoxon two-sample test maximally powered to detect proportional odds alternatives?
We know from the literature that
The Wilcoxon-Mann-Whitney two-sample rank sum test is optimal for detecting simple location shifts when comparing two continuous random variables that each have a ...
- 6,391
20
votes
0
answers
558
views
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 ...
20
votes
0
answers
2k
views
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 ...
- 109
20
votes
0
answers
6k
views
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 ...
- 84k
19
votes
1
answer
1k
views
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
- 1
18
votes
0
answers
1k
views
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 ...
- 54.8k
18
votes
0
answers
14k
views
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
votes
0
answers
2k
views
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 \...
- 828
17
votes
0
answers
621
views
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'...
- 70.5k
16
votes
0
answers
447
views
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
- 1
16
votes
0
answers
1k
views
Understanding Sequential Probability Ratio Test (SPRT) Likelihood Ratio
I am a software developer looking to develop an alternative for the simple hypothesis testing scheme described here. In short, the test works as follows:
Two URLs are compared for their ability to ...
CommunityBot
- 1
15
votes
0
answers
1k
views
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
- 1
15
votes
0
answers
507
views
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. ...
- 13.8k