Questions tagged [estimation]

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6
votes
1answer
105 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. ...
1
vote
0answers
46 views

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

I am trying to DSolve this differential equation for A[r] ...
7
votes
1answer
132 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 ...
0
votes
0answers
21 views

Estimate the Hidden Markov Parameter while keeping some of them are same

How can I estimate the hidden Markov model while using the same value for some of parameters? First, let's get test data (sorry, messy!) ...
1
vote
1answer
37 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 ...
2
votes
2answers
104 views

Test if NonlinearModelFit parameters are different between two data sets

I'm fitting the following model to different data sets using NonlinearModelFit: ...
2
votes
1answer
58 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 ...
0
votes
0answers
192 views

Estimate parameters of two correlated geometric Brownian motions

I would like estimate the parameters of the following set of Geometric Brownian Motions: $d P(t) = \mu_P P(t) d t + \sigma_P P(t) d Z_P(t)$ $d X(t) = \mu_X X(t) d t + \sigma_X X(t) d Z_X(t)$ ...
11
votes
1answer
279 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 ...
3
votes
1answer
173 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 ...