Questions on the statistical functions of Mathematica.

learn more… | top users | synonyms

1
vote
1answer
119 views

Estimating Confidence Interval Variance covariance matrix from weibull distribution

In The following Example 50 obs . I estimated distribution parameters (by point) but *i want to estimate parameters by confidence interval and calculate covariance matrix i need help * ...
1
vote
1answer
74 views

Stochastic Approximation and Simulation using Running Median

I have a function $$F(X_{t+1},Y_{t}^{med})= \alpha X_{t+1} + (1-\alpha) Y_{t}^{med},$$ where $$Y_{t}^{med} = Median(Y_1, Y_2,... Y_t).$$ Moreover, $Y_1 = X_1$ and $Y_t = F(X_{t},Y_{t-1}^{med})$ ...
1
vote
2answers
75 views

CDF of TransformedDistribution Not Returned And No Error Message Produced

I am unable to get Mathematica to return the CDF of a distribution produced by TransformedDistribution. It "executes" for 6 hours on my machine and then returns a blank plot. Could someone execute the ...
1
vote
1answer
99 views

Extracting Imported Information

What I want to do is to compare the relationship between the consumption of say beer and wine using scatter plots where each point designates the particular country (preferably named). I have tried to ...
1
vote
1answer
109 views

Draw from HistogramDistribution with ParallelTable

I wanted to check something, but ran into troubles using HistogramDistribution in combination with ParallelTable. The code does the following: Compute a HistogramDistribution of some sample and use ...
1
vote
1answer
528 views

Problem with Estimating the parameters value of gamma distribution

can anyone please help me with this problem? I am trying to estimate parameters of gamma distribution (fitted into a set of data). Following are my command and the output produced by mathematica: ...
1
vote
1answer
59 views

How do you graph the confidence intervals that results from a GARCH over a time series?

Please, does someone know how to draw a confidence intervals (from the results of a GARCH (1,1)) in a way similar to these: *Asume an ARMA(1,1) fit the time series. Thank you very much
1
vote
1answer
74 views

Method of moments using just the moments?

FindDistributionParameters (and EstimatedDistribution) can use "MethodOfMoments" as its ...
1
vote
1answer
128 views

Simulation Beta Distribution

Suppose a function such as: $\phi^{\alpha} (x,y) = \left\{ \begin{array}{l l} \alpha x & \quad \text{if $x < y$}\\ x & \quad \text{if $x = y$}\\ \alpha x + (1 -\alpha) & ...
1
vote
1answer
53 views

Replicability of RandomVariate within a function?

I have a rather basic question but can't figure out a foolproof answer. In the following code, I build a function which returns the mean difference between successive elements of a vector created from ...
1
vote
1answer
163 views

Skewness of distribution vs. skewness of distribution's PDF

I'm having trouble understanding why the skewness of built-in distributions is not the same as the skewness of their probability density functions. For example, the following are different (the first ...
1
vote
1answer
154 views

How can I show a rotated PDF plot superimposed on a ListPlot of the underlying data?

I have a set of 3 lifetime datasets in lists called values1, values2 and values3. values1 = {53377., 16542., 31418., 5629., 17654., 7365., 15797., 862., 76906., 10073.}; values2 = {74412., 15620., ...
1
vote
1answer
141 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. ...
1
vote
2answers
223 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 : $$\epsilon(t) = \sigma(t) \eta(t)$$ ...
1
vote
1answer
122 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 ...
1
vote
1answer
29 views

LogitModelFit bias term when using design matrix

I'm using the LogitModelFit function with a 32-columns design matrix and 0 or 1 output vector: LogitModelFit[{datax, datay}]. ...
1
vote
0answers
73 views

How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it) using Mathematica?

I know that if I use this code: tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}]; I can get the parameters using this: ...
1
vote
0answers
114 views

Is this the correct method in using bootstrapping to determine a lower confidence bound?

Quite often in industry, due to cost and schedule constraints, decisions must be made on small sample size data. I have 4 cycles-to-failure values resulting from running samples to failure in a ...
1
vote
0answers
48 views

Truncated Distribution Parameter Search Produces Singular Jacobian Using FindRoot

I'm trying to find the 2 parameters of a truncated Weibull distribution using version 10 and FindRoot. I would like to truncate the distribution between t =0 and t = 3600 with the probability of ...
1
vote
1answer
113 views

Assign a Distribution to a group of symbolic variable [closed]

I'm looking to compute this Expectation : "i" represent a individual and h(i) is value. I would like the compute the Expected value of his value times the mean of the groups. Everything is unknown ...
1
vote
2answers
165 views

Discretizing data using quantiles in Mathematica

I am trying to discretize a long array of real numbers into a uniformly distributed integer array. To do this I am identifying the quantile where each real value sits and writing it out to the output ...
1
vote
0answers
837 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 ...
1
vote
0answers
174 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
64 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
4answers
60 views

Mathematica & Statistics? [closed]

So, let's say you flip a coin 10 times, and call that 1 "event". If you run, 1,000,000 of these "events", what is the proportion of events that have heads between 0.4 and 0.6? Binomial probability ...
0
votes
1answer
114 views

On plotting the Weibull distribution

First: How can I plot the Weibull distribution with parameters a = 2 and b = 3.5 on the range of ...
0
votes
1answer
96 views

Loading Statistics`Library`

I need to use a number of functions from theStatistics`Library` namespace. Since that is a bit of a mouthful I would like to import it, but I get errors: ...
0
votes
1answer
146 views

Random numbers in C++ and Mathematica gives wrong results?

I have the following strange phenomenon which puzzles me!: I have a piecewise constant probability density given as ...
0
votes
2answers
219 views

Error function fit of data

I have this experimental data set which I know should follow the Complementary error function. My goal is to find the σ of the associated gaussian distribution. However, I cannot seem to do it in ...
0
votes
1answer
255 views

Trying to plot this probability

Can anyone help me plot this? log P(X >= x) = alpha logx x=0.001 + k(0.001) k= 0, ..., 100 I can't figure out the coding for this.. I've been trying this for a while, and can't seem to figure it ...
0
votes
1answer
45 views

Central Limit Theorem - solve for a const, given probability

I hope this is not a very complicated question, but I have problems finding the answer. Quite often, I need to calculate something like this: $P(-a<\bar{x}<a) = p$, where $\bar{x}$ refers to the ...
0
votes
1answer
171 views

plot an exponential statistical function

I have this exponential function, where j is unknown. How can I plot the variance function for $k= 0.1, \; 1, \;10$ $$f_{j,k}(y)=\frac{\sqrt{j}}{\sqrt{2 \pi}}e^{\sqrt{jk}}y^{-\frac{1}{2}} ...
0
votes
1answer
132 views

Understanding distribution chart

How to explain DistributionChart function in mathematica, For example: if I have ...
0
votes
2answers
737 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 ...
0
votes
1answer
336 views

How can an InverseQuantile or an interval valued Quantile function be implemented in Mathematica?

Quantile[] is the workhorse method in robust data analysis and statistics (see, eg Koenker's Quantile Regression). However, it should be complemented by an ...
0
votes
1answer
87 views

Estimating Parameters of a Custom Distribution

The problem is I can not get estimation of parameters of any custom probability distribution (distributions are not built in Mathematica), here is an example: First: I entered random numbers of ...
0
votes
1answer
173 views

Generating a list of standard normal random variables

Im trying to generate a list of random (standard) independent normal variables. For this, I first generate a random list of, say, 100 real numbers in the range [0, 1000], and then make them standard ...
0
votes
1answer
82 views

What is the meaning of Automatic in goodness of fit test?

I can't find what is the distribution corresponding to the default option in: DistributionFitTest[data, Automatic, "HypothesisTestData"]; Is it N(0,1), uniform?
0
votes
1answer
600 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: ...
0
votes
1answer
160 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: ...
0
votes
1answer
384 views

How to create function that classifies sample data

I want to create expression, that classifies samples ( 4 weather features -> decision). Example training data: For the values that i have data for, I can use rules: ...
0
votes
2answers
30 views

Simulate from an AR(1) process where the parameters vary over time

I would like to simulate from an AR(1) process, where the $\rho$ parameter in the process of the form: $X_t = \rho X_{t-1} + \epsilon_t$ varies over time. The path of $\rho$ and $var(\epsilon_t)$ ...
0
votes
1answer
23 views

Fit process parameters to a transformed AR(1) process

I would like to fit the parameters of an exponented AR(1) process using Mathematica's EstimatedProcess, however, the function does not seem to evaluate to anything. First of all I create the ...
0
votes
1answer
34 views

ANOVA on data with different lengths

I have data in the following form: ...
0
votes
1answer
68 views

how to scale the plot of PDF (t-distribution)

The directions in my book say: "To sketch the t distribution in Figure 3.11, simply multiply the abscissa t value by the scale factor and plot this against the ordinate of t at that point." So ...
0
votes
1answer
53 views

Sketch Probability density function [closed]

My question is : Suppose that the PDF of a random variable X is as follows: \begin{equation*} f(x) = \begin{cases} ce^{-2x} & \text {$x > 0$}\\ 0 & \text {otherwise}\\ ...
0
votes
1answer
57 views

Distribution of block maxima of gaussian random variables

I try to verify the following result of extreme value statistics that the distribution of the block maxima of Gaussian random variables converges to a Gumbel distribution. To this end, I first ...
0
votes
1answer
68 views

Solving minimum length confidence interval problem

I'm trying to find the minimum length of a confidence interval for the variance from a sample iid with normal distribution. I tried ...
0
votes
1answer
60 views

Can I use boolean parameters in LogitModelFit?

For example, to use 1 as True and 0 as False: ...
0
votes
1answer
264 views

Fitting data to a Poisson distribution

I'm trying to fit a Poisson Distribution to data produced in a lab. I've successfully made a Histogram of the data, which looks like: However, when I try to fit the Poisson Distribution using: ...