Tagged Questions

Questions on the statistical functions of Mathematica.

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11
votes
3answers
208 views

How to efficiently find moments of a multinormal distribution?

I have a multinormal distribution with covariance matrix $\sigma$ and zero mean. I want to find moment $$ E[x_1^{r_1}x_2^{r_2}\cdots x_n^{r_n}] =\,? $$ Of course, there is a build-in function ...
0
votes
1answer
124 views

Understanding distribution chart

How to explain DistributionChart function in mathematica, For example: if I have ...
3
votes
2answers
341 views

KolmogorovSmirnovTest[] On Frequency Data

I have two observed frequency data, let say f1 = {100, 200, 150, 100, 50}; f2 = {110, 195, 160, 105, 40}; and i want to know whether these random samples belong ...
2
votes
1answer
170 views

Judging the quality of fitting an EventData object to a distribution using LogRankTest

I have $389$ data points defined in an EventData object and want to judge the quality of fit of this data to a fitted $3$-parameter Weibull distribution. This ...
-3
votes
3answers
189 views

Statistical analysis of a data file and its Plot [closed]

As the title says, I have an external data file which contains thousands lines of data. The data file contains eight columns and here is what I would like to plot: Let's assume that the length of the ...
4
votes
1answer
620 views

How does Mathematica estimate error on fit parameters?

When performing a fit using NonlinearModelFit (or any of Mathematica fitting functions, but I am particularly interested in nonlinear models), Mathematica makes a ...
0
votes
0answers
135 views

Discrete distribution binomial set up

I hope one of you guys can help me out. I am trying to visualize a discrete distribution based on a binomial distribution and a mixed binomial distribution. In the first step I started to determine ...
5
votes
1answer
114 views

PearsonChiSquareTest: set degrees of freedom

How to set degrees of freedom for PearsonChiSquareTest? I have this: ...
3
votes
3answers
472 views

Log-log scale smooth histogram

How can I create a smooth histogram with a log-log scale? I can use Histogram[data, "Log", "LogCount"] to get a log-log histogram, or I can use ...
3
votes
3answers
227 views

How to partition a list into sublists in a similar way to Histogram

I have a list of list as below (I show part of it) ...
4
votes
1answer
143 views

How to Use ProbabilityScalePlot with Censored Data?

I am trying to reproduce a ProbabilityScalePlot of censored data shown here (see Sample Analysis Plot). Here is my Mathematica code. First I deal with the uncensored case. ...
6
votes
1answer
549 views

How do I calculate Standard Deviation confidence intervals in Mathematica?

I have a series of simulation results and I would like to demonstrate how the confidence interval for the mean and standard deviation decrease as the number of results increases. I have done this for ...
4
votes
1answer
176 views

Defining five-parameter Pearson distribution by moments

How do you derive (or where can I find a derivation of) the equations to match the five parameters of a general Pearson distribution to a mean, variance, skewness, kurtosis, and condition that the ...
5
votes
1answer
748 views

Hodrick–Prescott filter (one-sided version)

I am interested in implementing Hodrick–Prescott filter (HP filter) on my time series data in Mathematica. I know that there is already a version of two-sided original filter for Mathematica (see ...
3
votes
2answers
299 views

SinglePredictionBands versus MeanPredictionBands from NonlinearModelFit

From my Statistics lectures I know the term confidence and prediction interval, whereas the confidence interval is smaller than the prediction interval. If I plot the mean and single prediction bands ...
2
votes
1answer
108 views

Confidence level for Binomial

For 617519 first time births there were 317528 boys. Give an estimate with 99% confidence interval for the probability that the first time birth is a boy. I have searched for the confidence ...
1
vote
1answer
136 views

Value for x such that |(x-y)| is minimum

I have a list Y={y1,y2,y3,...,yn} And I would need to find x such that Abs[x-Y[[i]]] for all $y_i$ in $Y$ is minimum. ...
6
votes
3answers
464 views

Calculate probability function

I would like to calculate the following with Mathematica: Let $X$ be a random variable with probability function $$p(x)= \left\{ \begin{matrix} \frac{x}{6} & \text{for }x \in \{1,2,3\}\\ 0 ...
13
votes
1answer
258 views

Randomness test suites that can be invoked from Mathematica

There are several test suites referenced at csrc.nist.gov designed to test a (pseudo-)random byte sequence for randomness, and discover possible skews, correlations, patterns, or other hidden ...
4
votes
2answers
348 views

How to make a conditioning plot?

I'd like to make a conditioning plot just like coplot in R. Is there a pre-made solution or do I have to make a bunch of plots individually? Edit: This is an example from r screenshots. It is a way ...
0
votes
1answer
560 views

PDF of binomial distribution and mixed binomial distribution

I want to plot the PDF of binomial distributed function and a mixed binomial distributed function, therefore I entered for the binomial distribution function the following: ...
1
vote
0answers
692 views

How to Output Chi-Squared Statistics when using NonLinearModelFit

I am using NonLinearModelFit for some curve fitting and I was wondering if NLM is able to output chi-squared/leastsquared statistics from the best-fit parameters and confidence intervals. From my ...
0
votes
1answer
148 views

plot probability

Hi I just want to flatten a function, I tied it with Joined->True, but it did not work, hope somebody of you can help me. This is my code: ...
2
votes
1answer
269 views

Problem with Covariance Matrix Output in NonlinearModelFit

I am running NonlinearModelFit based off of some simulated data and trying to fit to a function with more than one parameter. Eventually, I would like to fit to 5 ...
2
votes
0answers
46 views

How can I account for assumed X and Y errors when using findfit? [duplicate]

I'm using very noisy biological data, and I need to assume, when doing linear regression, that there are errors in both X and Y. ...
3
votes
1answer
177 views

DistributionFitTest with WeightedData?

My problem is related to statistical testing with weighted data. I have a data sample and I assume that a part of the data follows a specific distribution (Pareto). So I fit my data to a distribution ...
0
votes
0answers
109 views

Binomial Distribution (binomial model inspired by Merton)

Binomial Distribution (binomial model inspired by Merton) Hi I want to do the following and I hope that anyone of you can help me out. In short, I have a portfolio consisting of 10 companies, ...
0
votes
1answer
112 views

Distance to a MultivariateStatistics median

I have a population of objects (each of which is described by a list of about a half-dozen real numbers), and I'd like to find some reasonable kind of distance between each of several different test ...
0
votes
2answers
663 views

How to generate a random data set with determined expected value and variance? [closed]

Recently I am doing my math homework and there is a question asking me to Come up with a dataset X that has at least 10 distinct numbers in it such that Expect[X] = 3.7, and Var[X] = 2.1. Actually I ...
5
votes
2answers
297 views

Numerical Integration with InverseErfc

I am trying to numerically integrate an equation that involves InverseErfc (embedded in the copula defined). The equation looks like the following: $$ \int_0^T \int_0^\infty \int_0^\infty ...
1
vote
0answers
168 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. ...
2
votes
0answers
624 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
0answers
61 views

Changing GeometricBrownianMotionProcess function

Since the function GeometricBrownianMotionProcess is given by Mathematica I have some technical questions. If we consider the following example: ...
0
votes
0answers
386 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) ...
6
votes
2answers
935 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 ...
2
votes
2answers
181 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 ...
3
votes
1answer
468 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.
8
votes
1answer
199 views

CorrelationTest small bug?

Consider two Normally distributed random variables: x1 = RandomVariate[NormalDistribution[], {1000}]; x2 = RandomVariate[NormalDistribution[], {1000}]; I want to ...
18
votes
1answer
362 views

Unexpected behavior of confidence bands for data presenting two regions with uneven noise

Let's generate some noisy data with uneven noise. ...
4
votes
1answer
263 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 + ...
8
votes
3answers
463 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 ...
2
votes
1answer
408 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 ...
2
votes
0answers
568 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 ...
1
vote
2answers
451 views

Probability density histogram with unequal bin widths

I am confused by output of Histogram and HistogramList for probability density ("PDF") when ...
2
votes
1answer
127 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 ...
4
votes
1answer
325 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 ...
1
vote
2answers
216 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 : $$\epsilon(t) = \sigma(t) \eta(t)$$ ...
3
votes
4answers
221 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
139 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: ...
5
votes
1answer
645 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 ...