Unanswered Questions
16,559 questions with no upvoted or accepted answers
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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0
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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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13
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0
answers
272
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Logistic regression for classification: are there any analytical solutions for the out-of-sample accuracy?
I run a binary logistic regression, with a binary dependent variable and a continuous independent one.
Now I want to evaluate the out-of-sample performance of the classification algorithm so obtained. ...
- 2,578
13
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0
answers
778
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Interpreting regression coefficients based on Andrew Gelman's re-scaling method
I have two predictors in a binary logistic regression model: One binary and one continuous. My primary goal is to compare the coefficients of the two predictors within the same model.
I have come ...
CommunityBot
- 1
13
votes
0
answers
415
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Is autocorrelation not worth addressing with small N?
Consider a simple regression context in which there is a small set of response values, $Y$, and corresponding dates, $X$. (For simplicity, we can assume the dates are equally spaced.) We would like ...
12
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0
answers
1k
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Why we really need the concept of "Local" Rademacher complexity?
Recently, I have been studying High-Dimensional Statistics: A Non-Asymptotic Viewpoint written by Martin J. Wainwright. In this book, the author uses a special complexity measure which is called Local ...
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11
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Pope effect on pizza - Regression with presence absence and similarity data as dependent variables
I'm trying to figure out the right way to set up a regression when the dependent variables are presence absence data (of pizzas), and the similarity between the present pizzas. Bear with the story:
...
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11
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0
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Bootstrap Prediction Interval: which residuals to use and which method?
I ask this question referring to the post: Bootstrap prediction interval, where a step by step method for calculating the prediction interval for linear regression models is explained.
In the ...
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11
votes
1
answer
6k
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Generalized additive model: choosing between cubic and thin-plate splines
I am using the gam function (from the mgcv package) to model a continuous response (a soil nutrient) in relation to a continuous ...
CommunityBot
- 1
10
votes
0
answers
624
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When using L2 regularization outside of linear regression, do the same MAP estimation assumptions hold?
Some context is shared below, and my question is bolded at the end.
MLE from observation noise
In the linear regression setting, we learn model weights $\mathbf{w}$ to make scalar predictions $\hat{y}...
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10
votes
0
answers
2k
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Difference between Shapley values and SHAP
The Paper regarding die SHAP value gives a formula for the Shapley Values in (4) and for SHAP values apparently (?) in (8)
Still I dont really understand the difference between Shapley and SHAP ...
- 233
10
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0
answers
377
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Reinforcement *Model* Learning
Classical reinforcement learning (Q- or Sarsa-Learning) can be extended with models of the environment. These models are usually transition tables that contain the probability of arriving at a ...
CommunityBot
- 1
10
votes
0
answers
1k
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What techniques are there to measure goodness of fit of Deming (orthogonal) regression?
Questions:
Even if there is no "widely accepted" technique, is there a useful-and-above-average technique for estimating goodness of fit in orthogonal regressions?
What are the pros/cons of this ...
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10
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744
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Errors-in-Variables model for logistic regression
Simple question: I am familiar (though don't have tons of experience) with errors-in-variables regression. From what I have seen, this mostly is used with continuous outcomes in a linear model.
A) Is ...
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