Questions on the statistical functions of Mathematica.
1
vote
0answers
73 views
Simulations with MonteCarlo and Autoregressive methods
I am trying to find the best-fit trend for my data. Here I just generated it but let's say I don't know my data trend at all.
...
1
vote
0answers
63 views
Linear regression with x and y errors
I have a question about finding a linear regression weighted with x and y errors. I found the answer provided by 0x4A4D in Estimate error on slope of linear regression given data with associated ...
1
vote
1answer
160 views
Computing Correlations and p-values
I have two vectors $A$ and $B$ of length (say) $50$ or so, and I want to determine whether there is any correlation between their entries. I computed their correlation directly and found it to be ...
0
votes
0answers
34 views
Changing GeometricBrownianMotionProcess function
Since the function GeometricBrownianMotionProcess is given by Mathematica I have some technical questions. If we consider the following example:
...
12
votes
1answer
143 views
NExpectation behaves oddly with EmpiricalDistribution
My question concerns the usage of NExpectation and Expectation and why I see the behavior I see in the following example.
First ...
8
votes
3answers
228 views
The default bandwidth of the SmoothKernelDistribution function
I am researching the Silverman rule of thumb for bandwidth selection.
Below is a sample of my code, from which it seems that BW=63 is close to the default parameter given by Mathematica (2 images are ...
0
votes
0answers
82 views
Coefficient of determination (R squared) of EstimatedDistribution
I have estimated the distribution for a set of data as LogisticDistribution[3.5, 1.037]. How can I calculate and plot the coefficient of determination (R squared) ...
3
votes
1answer
118 views
How can I compute and plot the 95% confidence bands for a fitted logistic regression model?
I have a set of binary data that I' d like to fit a logistic regression model to and show the 95% confidence band around the fitted function. I can produce the regression model but how do I compute ...
0
votes
0answers
4 views
Statistics: Probability density function [migrated]
Suppose x is a continuous random variable. The probability density function of x is f(x) = $kx^2$ when 0 < x < 2 and f(x)= 0 otherwise. What is the value of k?
More info: Does this mean I find ...
0
votes
0answers
51 views
Correlation of two variables
Showing the correlation of two variables using a plot
I am interested to know the mathematical formulas for calculating the confidence bands plotted in figures 4 and 5 above.
One more question: the ...
13
votes
3answers
2k views
Showing the correlation of two variables using a plot
I have a list of $\{x_i,y_i\}$ pairs and I want to show that $x_i$'s and $y_i$'s have positive correlation. The result of ...
2
votes
2answers
135 views
Stochastic problem
I have to organize a small sports league and I am puzzled on how to create the game plan.
We are 8 persons playing table soccer with 2 vs. 2 matches. The idea is that each person plays once with ...
8
votes
2answers
344 views
How to define a new copula distribution family
The function CopulaDistribution can be used with the most well known kernels. I was wondering how I can add a new family of kernels in a way that it works in the ...
3
votes
1answer
94 views
How can I calculate the correlation dimension and/or the Lyapunov exponent of a time series using Mathematica
I have a pretty long time series (4000 data points).
How can I calculate the Correlation dimension and/or Lyapunov exponent for such data?
Please also advise on how to import the data as well.
4
votes
3answers
1k views
Doing a chi-square independence test in Mathematica
I have a matrix consisting of the following data:
Needs["HypothesisTesting`"]
data = {{11, 206}, {32, 1374}}
How would I make a chi-square independence test ...
-1
votes
0answers
14 views
Statistics Question [migrated]
This is probably super simple to most of you on here, but I was chatted by a friend earlier with a question. It reads just like this:
...
8
votes
1answer
159 views
CorrelationTest small bug?
Consider two Normally distributed random variables:
x1 = RandomVariate[NormalDistribution[], {1000}];
x2 = RandomVariate[NormalDistribution[], {1000}];
I want to ...
12
votes
0answers
155 views
4
votes
1answer
124 views
AR(1) Process first term
I'm trying to generate a very simple AR(1) Process with Mathematica using the ARProcess[] function. The process must have the following format:
$Y_t = \alpha + ...
9
votes
3answers
248 views
Different calculation of median and quartiles, bug in BoxWhiskerChart?
When you plot a dataset with BoxWhiskerChart passing over the box in the plot with your mouse pointer shows some specifics about the dataset (min and max values, ...
10
votes
2answers
232 views
What do the options of SmoothKernelDistribution do?
The function SmoothKernelDistribution has three options that are not described in too much detail in the Mathematica's help window.
InterpolationPoints: What is ...
1
vote
1answer
99 views
PDF on TransformedDistribution of two BinomialDistribution too slow
I'd been doing my own convolutions of distributions for some calculations, decided to use built-ins.
With
...
4
votes
1answer
211 views
Using DistributionFitTest on custom distributions in Mathematica 8
I originally posted this question on Stack Overflow, but I didn't get any answers, and I'm hoping to have better luck here.
I'm trying to compute the goodness-of-fit of a bi-modal Gaussian ...
14
votes
5answers
2k views
Estimate error on slope of linear regression given data with associated uncertainty
Given a set of data, is it possible to create a linear regression which has a slope error that takes into account the uncertainty of the data?
This is for a high school class, and so the normal ...
1
vote
2answers
163 views
Probability density histogram with unequal bin widths
I am confused by output of Histogram and HistogramList for probability density ("PDF") when ...
2
votes
0answers
157 views
Calculate variance of random walk?
How can I symbolically calculate the variance of the following random walk in Mathematica?
Given several discrete random variables such that $p(Z_i=1-2k)=p$, where $k$ is a small real number, and ...
7
votes
1answer
169 views
Overlay of pdf using PairedHistogram in Mathematica
With a standard 1D histogram, I can generate a pdf overlay using Show and Plot.
I'd like to do something similar with ...
1
vote
0answers
172 views
Matrix algebra vs. PrincipalComponents and Varimax/Oblimin
Using matrix algebra I can calculate loadings and scores from the covariance matrix (data matrix is column centered):
...
2
votes
1answer
63 views
Standard Deviation and StandardDeviationFilter
I found this scant description of StandardDeviationFilter in the documentation, implying one could use it to generate a moving standard deviation:
I've got a ...
2
votes
1answer
111 views
How to get confidence bands of parameters from a fitting procedure?
I have done fitting of data points with a given model that has two parameters (A and B), using NonlinearModelFit. The result of the fit is the maximum of the ...
0
votes
0answers
97 views
build and estimate a time series process
I want to generate an EGARCH process. My problem is that I do not see how to create new processes beyond those available.
The process itself is :
$$\epsilon(t) = \sigma(t) \eta(t)$$
...
4
votes
2answers
629 views
How to use a 3×3 covariance matrix to plot an error ellipsoid?
I have a 3×3 error covariance in Mathematica, but I don't know how to use it for plotting the error ellipsoid. It would be great if you can show me how I can do that for the below covariance matrix:
...
4
votes
0answers
53 views
Is there a common name for OrderDistribution? [closed]
I can't seem to find any reference material on what Mathematica calls OrderDistribution via Google or Wolfram|Alpha or the ASA.
I can read what the Documentation ...
7
votes
1answer
614 views
Wald–Wolfowitz Runs Test
Does Mathematica 8 implement Wald–Wolfowitz runs test for randomness? I can't find it in the documentation. I would like to test some fit residuals.
2
votes
4answers
129 views
Descriptive statistics of two events
I am trying to use the descriptive statistics feature of Mathematica to answer the following question: suppose I have two events, A and B, whose occurrence is described by a normal distribution around ...
0
votes
1answer
91 views
No Tukey Test on ANOVA package
I'm trying to use the ANOVA package and have mathematica display the Tukey PostTest, but all I get is this:
...
4
votes
1answer
164 views
Multinomial logistic regression
Has anyone done multinomial logistic regression in Mathematica?
The binomial case is essentially done on the LogitModelFit documentation page and works fine.
I am ...
2
votes
1answer
116 views
EmpiricalDistribution for Gini Coefficient Runs Slow
I am repurposing code that I found in this blog post (http://datavoreconsulting.com/sports/gini-coefficients-and-the-olympic-medal-race/) to generate the Gini coefficient for other data sets I am ...
2
votes
1answer
80 views
ConditionalEntropy and Statistics`Library`NConditionalEntropy
There is a function available from the Statistics`Library context called NConditionalEntropy that appears to compute ConditionalEntropy. Thus ...
...
5
votes
2answers
189 views
Plotting 2D Data with Categorical Data in One of the Dimensions
I have a 2D data set in the form of:
data={{Category, Integer}, {Category, Integer},{Category, Integer}...}
It is a pretty simple data set with four categories ...
2
votes
4answers
1k views
Function for Autocorrelation
Is there a built in function to compute the autocorrelation of a signal ?
6
votes
1answer
141 views
Obtaining standardised regression coeffiecients
Regression coefficients are the constant that indicate the rate of change in one variable as a function of change in another. Standardised regression coefficients are the same, but refer to a change ...
7
votes
2answers
1k views
Performing a chi-square goodness of fit test
How would I perform a chi-square goodness of fit test? I have tried the following, where my data consists of the observed values whilst the data pair contains the correct values. Then I use the ...
14
votes
4answers
916 views
Efficiently generating n-D Gaussian random fields
I am interested in an efficient code to generate an $n$-D Gaussian random field (sometimes called processes in other fields of research), which has applications in cosmology. I wrote the following ...
0
votes
1answer
112 views
Discrete 3D plots of median ratios of two 2D matrices of lists of values
Lets say I have 2 2D arrays where each cell contains a list of values:
Example:
...
5
votes
2answers
147 views
BoxWhiskerChart with logarithmic axes
I would like to make a following chart
Ideally I would also like to control the boxes position on a logarithmic x-axis.
Some inspiration how to do the latter may be found in the answer to my ...
3
votes
3answers
243 views
BoxWhiskerPlot - how to specify boxes position on the horizontal axis
Let's say I have a folowing set of data:
k = 1 : list of values
k = 3 : list of values
k = 10 : list of values
I know that to make a BoxWhiskerChart I have to ...
4
votes
2answers
178 views
Fitting data to an ARProcess using FindProcessParameters
I have 50 data points that I would like to represent as an AR(4) process. I'd like to over-plot the behaivor of the estimated process model with that of the original (raw) data before I use the model ...
2
votes
1answer
98 views
Using NSolve on an equation that involves Mean and TruncatedDistribution
What I would like to do is create a mixture distribution that has a specified mean by varying one parameter in the distribution. To do this I've written the following code;
...
8
votes
2answers
433 views
Finding distribution parameters of a gaussian mixture distribution
Short version: how to estimate the parameters of a mixture of multivariate normal distributions (i.e.: Gaussian mixture model)?
Long version.
I am trying to estimate the parameters of a mixture of ...
