Questions tagged [estimation]
The estimation tag has no usage guidance.
22
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Any luck estimating a multivariate hidden Markov process?
I am having problems using EstimatedProcess to estimate a multivariate HiddenMarkovProcess. I'm following the work of a paper, so I know this method is feasible. In brief, given 2 economic variables: ...
- 1
-1
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75
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Calculate the value of an interval [closed]
I want to calculate the maximum absolute value of - 2t in the range t∈{0,1}, so I wrote the following code. However, when I ran the following code, an error was reported because I am not familiar with ...
- 143
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32
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Can we approximate a matrix power series like NSum does?
Essentially, the following does not work, and I'm wondering if it can be made to:
NSum[ MatrixPower[B,n], {n,0,∞}]
(Here B is a ...
- 121
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65
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Checking inner workings of a statement of linear algebra using Mathematica
Suppose $A,B \in M_{n}(\Bbb{R})$ such that $A = \left[C_{1}\middle|\frac{I}{0\dots0}\right], B= \left[C_{2}\middle|\frac{I}{0\dots0}\right]$ , where $A$ and $B$ have different first columns (...
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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. ...
- 276
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304
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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 ...
- 651
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88
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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:
...
- 59
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2
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72
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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 ...
- 1,174
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52
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2
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3
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219
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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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136
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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 ...
- 7,163
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53
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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 ...
- 7,163
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227
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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 ...
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1
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215
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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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48
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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]
...
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9
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423
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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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42
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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 ...
- 4,185
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2
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228
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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:
...
- 1,022
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1
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86
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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 ...
- 1,125
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298
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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
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413
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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 ...
- 22.6k
3
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1
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246
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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
...
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