Questions tagged [estimation]
The estimation tag has no usage guidance.
18
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Why is EstimatedProcess so slow for a vector ARProcess?
I'm trying to fit some 4 x N data to a vector auto-regressive model. However, EstimatedProcess is very slow for this. For a 4-th order vector AR process, it takes more than 10 seconds (for N approx. ...
- 176
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1
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142
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2D kernel density estimation (SmoothKernelDistribution) with bandwidth estimation: what are the values that Mathematica chooses?
Mathematica has built in bandwidth estimation including the rules Scott, SheatherJones and ...
- 641
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1
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84
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Why does FindDistributionParameters[] fail to converge for this distribution? [closed]
During testing my code for calculate parameters
The following exception is thrown:
...
- 29
4
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2
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68
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EstimatdDistribution returns evaluated expression, not function name/
Ok, this takes a little bit o preparation. I'd like to estimate a distribution for some data. I have a distribution function that is not part of the canonical Mathematica set so I define it via ...
- 1,144
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2
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3
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Issues with ProbabilityDistribution
I am trying to specify a user-defined probability distribution with ProbabilityDistribution and am running into errors when I try to obtain the distribution ...
- 131
2
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2
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Can I impose some a priori constraints on a distribution found by SmoothKernelDistribution?
I use SmoothKernelDistribution (with no options and a single argument — a list of values) to get an approximate reconstruction of a continuous distribution based on ...
- 6,846
2
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40
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Need a generalization of NumericalMath`NSequenceLimit to incomplete data
NumericalMath`NSequenceLimit is a great tool to obtain an empirical estimate of the limit of a sequence whose exact behavior is unknown, just from a finite prefix ...
- 6,846
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1
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217
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Find the number of upvotes on my reddit post
I posted a video on reddit that has more downvotes than upvotes. Rather than showing a negative symbol, it displays a zero. It says I have 29% (edit: now 33%) of the votes were upvotes which I guess ...
- 199
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1
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187
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Mathematica slow at estimating vector autoregressive model parameters
I have been trying to obtain VAR model parameters using EstimatedProcess and FindProcessParameters. It seems to take a very long time as soon as I have more than 6 or 7 time series and lag length >2.
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I there any way to DSolve an equation by an estimated method?
I am trying to DSolve this differential equation for A[r]
...
- 653
9
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1
answer
262
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About Silverman's bandwidth selection in SmoothKernelDistribution
I asked the following question in the site Cross Validated: https://stats.stackexchange.com/questions/444320/convergence-of-kernel-density-estimate-as-the-sample-size-grows/444479#444479. It was about ...
- 93
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Is there a problem using Check and Quiet with LinearModelFit?
I am using LinearModelFit in conjunction with Quiet and Check because I need to control when ...
- 3,980
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2
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177
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Test if NonlinearModelFit parameters are different between two data sets
I'm fitting the following model to different data sets using NonlinearModelFit:
...
- 1,002
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1
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79
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Looking for an estimator for non-linear statistics
Goal
We sample $n$ individuals with replacement and measure their trait values $x_i$ for all individual $i$. The variable $x$ is bounded [0,1].
Let $\mu$ be the ...
- 1,095
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270
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Estimate parameters of two correlated geometric Brownian motions
I would like estimate the parameters of the following set of Geometric Brownian Motions:
$d P(t) = \mu_P P(t) d t + \sigma_P P(t) d Z_P(t)$
$d X(t) = \mu_X X(t) d t + \sigma_X X(t) d Z_X(t)$
...
- 1
11
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1
answer
357
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Difficulty in parallelizing function using package (MCMC)
Difficulty in parallelizing Packages using DistributeDefinitions
Context
I am trying to parallelize some parameter estimation using MCMC.
As a test run I expect ...
- 21.7k
3
votes
1
answer
224
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FindDistributionParameters fails with custom distribution?
Context
I would like to find the MaximumLikelihood solution
of a customized PDF
Let's start with a built in PDF. Following the documentation
...
- 21.7k