Questions tagged [estimation]

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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. ...
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  • 176
1 vote
1 answer
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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 ...
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0 votes
1 answer
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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: ...
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4 votes
2 answers
68 views

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 ...
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0 votes
0 answers
39 views

Confusion about EstimatedProcess::ntsprt error

Given the data as follows, ...
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2 votes
3 answers
183 views

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 ...
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  • 131
2 votes
2 answers
125 views

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 ...
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2 votes
0 answers
40 views

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 ...
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1 vote
1 answer
217 views

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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  • 199
6 votes
1 answer
187 views

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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1 vote
0 answers
48 views

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 votes
1 answer
262 views

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 ...
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1 vote
1 answer
42 views

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 ...
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2 votes
2 answers
177 views

Test if NonlinearModelFit parameters are different between two data sets

I'm fitting the following model to different data sets using NonlinearModelFit: ...
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2 votes
1 answer
79 views

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 ...
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0 votes
0 answers
270 views

Estimate parameters of two correlated geometric Brownian motions

I would like estimate the parameters of the following set of Geometric Brownian Motions: $d P(t) = \mu_P P(t) d t + \sigma_P P(t) d Z_P(t)$ $d X(t) = \mu_X X(t) d t + \sigma_X X(t) d Z_X(t)$ ...
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11 votes
1 answer
357 views

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 ...
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3 votes
1 answer
224 views

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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