# Questions tagged [estimation]

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69 views

### 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: ...
75 views

### 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 ...
32 views

### 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 ...
65 views

### 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 (...
76 views

### 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. ...
1 vote
304 views

### 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 ...
88 views

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

During testing my code for calculate parameters The following exception is thrown: ...
72 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 ...
52 views

Given the data as follows, ...
219 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 ...
136 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 ...
53 views

### Need a generalization of NumericalMathNSequenceLimit to incomplete data

NumericalMathNSequenceLimit 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 ...
1 vote
227 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 ...
215 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
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] ...
423 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 ...
1 vote
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 ...
228 views

### Test if NonlinearModelFit parameters are different between two data sets

I'm fitting the following model to different data sets using NonlinearModelFit: ...
86 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 ...
298 views

### Estimate parameters of two correlated geometric Brownian motions

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