Questions tagged [estimation]

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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: ...
Elliott's user avatar
-1 votes
1 answer

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 ...
chen chen's user avatar
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2 votes
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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 ...
Good Boy's user avatar
  • 121
0 votes
1 answer

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 (...
BAYMAX's user avatar
  • 199
4 votes
0 answers

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. ...
Amanda's user avatar
  • 276
1 vote
1 answer

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 ...
Davi's user avatar
  • 651
0 votes
1 answer

Why does FindDistributionParameters[] fail to converge for this distribution? [closed]

During testing my code for calculate parameters The following exception is thrown: ...
A Day's user avatar
  • 59
4 votes
2 answers

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 ...
Oliver Jennrich's user avatar
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0 answers

Confusion about EstimatedProcess::ntsprt error

Given the data as follows, ...
step-by-step's user avatar
2 votes
3 answers

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 ...
Murali's user avatar
  • 131
2 votes
2 answers

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 ...
Vladimir Reshetnikov's user avatar
2 votes
0 answers

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 ...
Vladimir Reshetnikov's user avatar
1 vote
1 answer

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 ...
Arbuja's user avatar
  • 39
6 votes
1 answer

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. ...
Charles Dörre's user avatar
1 vote
0 answers

I there any way to DSolve an equation by an estimated method?

I am trying to DSolve this differential equation for A[r] ...
Perfect Fluid's user avatar
9 votes
1 answer

About Silverman's bandwidth selection in SmoothKernelDistribution

I asked the following question in the site Cross Validated: It was about ...
user69238's user avatar
1 vote
1 answer

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 ...
user42582's user avatar
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2 votes
2 answers

Test if NonlinearModelFit parameters are different between two data sets

I'm fitting the following model to different data sets using NonlinearModelFit: ...
BPinto's user avatar
  • 1,022
2 votes
1 answer

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 ...
Remi.b's user avatar
  • 1,125
0 votes
0 answers

Estimate parameters of two correlated geometric Brownian motions

I would like estimate the parameters of the following set of Geometric Brownian Motions: $d P(t) = \mu_P P(t) d t + \sigma_P P(t) d Z_P(t)$ $d X(t) = \mu_X X(t) d t + \sigma_X X(t) d Z_X(t)$ ...
emper's user avatar
  • 1
11 votes
1 answer

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 ...
chris's user avatar
  • 22.6k
3 votes
1 answer

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 ...
chris's user avatar
  • 22.6k