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Questions tagged [probability-or-statistics]

Questions about systematic data collection and organization, or the application of probability theory to model the inherent patterns and properties of sampled data, underlying data distribution(s) or random processes.

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New issue or new setting(s) of Goodness-of-Fit Tests in 11.3@student edition

Bug introduced in 11.3 or earlier and persisting through 11.3.0 or later Just before upgrading to 11.3.0 on last Friday, i was having p-value results from 11.2.0. Not worrying about upgrade may ...
step-by-step's user avatar
14 votes
0 answers
1k views

Implementation of Partial Least Squares (PLS)?

I'm looking for a PLS implementation for Wolfram Mathematica. I just can't seem to find any implementation for it - do you know one? In general, I'm a bit confused that there exist only so few third-...
tim's user avatar
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10 votes
0 answers
339 views

Is it possible to do probabilistic programming by variable elimination with plain Mathematica 10 or later?

Using frameworks like Figaro it is possible to do probabilistic programming by variable elimination to build a probabilistic model and then run inferences against it in a very intuitive way. Example: ...
Luxspes's user avatar
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9 votes
1 answer
449 views

Can LearnDistribution learn conditionality?

I would like to apply LearnDistribution to multivariate conditional distributions. Here's a simple artificial example: ...
M.R.'s user avatar
  • 31.6k
9 votes
0 answers
389 views

How to extract tree parameters from RandomForest?

I want to extract the parameters of a decision tree from the object estimated by Classify[]. It seems that parameters of the estimated Classifier are available in the "Models" property. It is ...
iav's user avatar
  • 2,016
7 votes
0 answers
241 views

How To Install R Packages Via R Link In Windows

So it looks like I got RLink working on my Windows machine: ...
Daniel Berkowitz's user avatar
7 votes
0 answers
196 views

What does the symmetry requirement for the Conover rank squared tests entail?

What does the symmetry requirement for the Conover rank squared tests entail? In that Mathematica link it is stated that the ConoverTest assumes the data is symmetric about a common median. We have no ...
Carl's user avatar
  • 717
7 votes
0 answers
327 views

Multivariate Adaptive Regression Splines (MARS) - Mathematica implementation?

Does anybody have or know of a Mathematica implementation of the Multivariate Adaptive Regression Splines (MARS) algorithm?
hippo3773's user avatar
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6 votes
0 answers
351 views

How To Fit ARMA(1,1)-GARCH(1,1) Model

An ARMA(1,1) model is defined as the following $X_{t}=\alpha_{0}+\alpha_{1}X_{t-1}+\epsilon_{t}+\beta_{t-1}\epsilon_{t-1}$ where a GARCH(1,1) model is defined as $\epsilon_{t} = z_{t}\sqrt{a_{0}+a_{1} ...
Daniel Berkowitz's user avatar
6 votes
0 answers
263 views

Does DegreeGraphDistribution sample uniformly?

Bug introduced in 10.0 or earlier and persisting through 12.1 The first symptom (histogram below) is gone in 12.0. The second (fraction of connected graphs) persists, showing that the sampling is ...
Szabolcs's user avatar
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6 votes
0 answers
72 views

Problem with Probability and MultivariateHypergeometricDistribution (bug?)

Using the input ...
ciao's user avatar
  • 25.9k
6 votes
0 answers
1k views

Sensitivity Analysis: Global Sensitivity and Screening

I have a model which accepts several input parameters and now I want to study the sensitivity to certain parameters as described in here: Cross Validated Answer and in Wikipedia. There is also a link ...
gogoolplex's user avatar
5 votes
0 answers
393 views

Histogram (automatic binning)

There are different methods for choosing widths of bins for a histogram, like Freedman-Diaconis rule. In Mathematica, without choosing a specific method, with the command ...
user avatar
5 votes
0 answers
74 views

How to pass a custom method to a particular option?

In an answer to my question More efficient method to compute moments of the Johnson $S_B$ distribution, J. M. has come up with a method to compute the moments of the Johnson $S_B$ distribution, which ...
მამუკა ჯიბლაძე's user avatar
5 votes
0 answers
473 views

RandomVariate, MSE and Cramer-Rao bound calculation

I'm using the following code to plot the variance of a moment estimate of a parameter of Rice distribution and its' Cramer-Rao bound. First I generate $10^3$ vectors $\texttt{R}$ ($10^3$ elements in ...
user91450's user avatar
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5 votes
0 answers
216 views

Given two samples, how does LocationTest select its AutomaticTest?

How does LocationTest select its "AutomaticTest" when testing two samples? Background: A previous post poses a similar question ...
Ronald Monson's user avatar
5 votes
0 answers
353 views

Sparse Principal Component Analysis

I'd like to run sparse PCA on some economic data. There appear to be several R functions available including elasticnet and PMA but I wanted to check if anyone had something coded up directly in MMA ...
pjc42's user avatar
  • 733
4 votes
0 answers
92 views

Why am I losing photons in a window?

I'm trying to model a window. For some distribution of light rays hitting the window, I'd like to determine the output angles, and the number of photons which are reflected or transmitted. I'd like ...
Tomi's user avatar
  • 4,496
4 votes
0 answers
79 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. ...
Amanda's user avatar
  • 276
4 votes
0 answers
275 views

Kolmogorov backward PDE with boundary conditions

I am trying to solve numerically Kolmogorov backward PDE with boundary conditions: ...
Al Guy's user avatar
  • 1,610
4 votes
0 answers
147 views

Fit Markov Chain

Assume a simple Markov Chain with the transition matrix ...
tukan's user avatar
  • 407
4 votes
0 answers
75 views

Why is ProbabilityDistribution 100x slower than ExtremeValueDistribution?

The two distributions are the same, except the ProbabilityDistribution cuts out below x=0. The wolfram documentation on ProbabilityDistribution says nothing about speed. A search of this site gave no ...
Michael B. Heaney's user avatar
4 votes
0 answers
416 views

Winsorizing in Mathematica and the R package DescTools yields differing results

I am currently trying to winsorize several datasets up to 1000 datapoints in R and in Mathematica for using those in regression estimations afterwards. Following the suggestion in the question http://...
Jan Schulz's user avatar
4 votes
0 answers
442 views

Power law fitting package that optimizes fitting parameters based off of the KolmogorovSmirnov MC method

I'm exploring power law fitting and would like to get to a point of making a power law package like what was discussed in this post, where OP references the R poweRlaw package. As per the comments/...
E3labs's user avatar
  • 485
4 votes
0 answers
424 views

Goodness of Fit of Copula Distribution

I am trying to find out goodness of fit of copula distribution, but Mathematica 10 gives me the same answer for each copula type. e.g ...
SAAN's user avatar
  • 617
4 votes
0 answers
514 views

Belief Network, Bayesian network

There is already a question about simulating Bayesian networks with Mathematica (Mathematica Package for Bayesian Networks). However, are there any packages or approaches which help in computing the ...
user21937's user avatar
4 votes
0 answers
89 views

Derive logistic choice probabilities symbolically

More generally, I am interested in learning what the current limitations of Mathematica are when using it for doing pure mathematics. A recent blog post by Stephen Wolfram (see: http://blog....
Seb's user avatar
  • 735
4 votes
0 answers
126 views

Converting problem into form involving Probability

I want to solve the following problem symbolically, using Probability: What is the probability of the first random variate of a set to be present more than once, ...
kirma's user avatar
  • 19.1k
3 votes
0 answers
81 views

How can I calculate P-Value for a custom distribution?

I used DistributionFitTest but it works only with a defined distribution. This is the distribution that I used: ...
A Day's user avatar
  • 59
3 votes
0 answers
175 views

FindDistribution analog: automated data modeling with all Wolfram statistical distributions

BOUNTY GOAL To get bounty I am asking to build a function that serves as an analog of FindDistribution. You can also simply re-implement ...
Vitaliy Kaurov's user avatar
3 votes
0 answers
79 views

Computing First Moment of TransformedDistribution slow. Is there a way to speed things up? If not, can you help me understand why its slow?

I'm a novice Mathematica program, toying with the idea of solving for the first four moments of a linear combination of a multivariate Gaussian mixture distribution. The first two moments I have ...
hipHopMetropolisHastings's user avatar
3 votes
0 answers
109 views

ExampleData problem

When running : iris = ExampleData[{"MachineLearning", "FisherIris"}, "Data"]; I get the message : ...
djg's user avatar
  • 93
3 votes
0 answers
78 views

Adding a new statisitical distribution

What would I need to define to add a new statistical distribution to Mathematica? Ideally, it would support as many of Mathematica's statistical functions as possible. In practice, this might most ...
mikado's user avatar
  • 16.8k
3 votes
0 answers
39 views

Assessing your own classifier function with ClassifierMeasurements or NetMeasurements

The functions ClassifierMeasurements and NetMeasurements expect objects that are created through ...
barnold's user avatar
  • 31
3 votes
0 answers
132 views

How to reproduce SmoothKernelDistribution[] for the bivariate case

I am trying to reproduce the results of SmoothKernelDistribution[] for the bivariate case. ...
stathisk's user avatar
  • 3,054
3 votes
0 answers
187 views

Computing the Mean of Around Values

I understand the computation of the uncertainty of independent Around values to be based on the following first order approximation $$ \delta f(x,y)=\sqrt{\left(\frac{\text{$\delta $f}}{\partial x}...
Kenric's user avatar
  • 334
3 votes
0 answers
154 views

What's the usefulness of SymmetricMatrixQ and PositiveDefiniteQ if they fail with this matrix?

Let's define ...
An old man in the sea.'s user avatar
3 votes
0 answers
388 views

Conditional probability distribution

Suppose I have three random variables $X_1$, $X_2$ and $Y$, where $Y = (X_1 + X_2)/2$. How can I use Mathematica to derive the random variable defined by the condition $Y| X_1 > Y$? Although I ...
user120911's user avatar
  • 2,685
3 votes
0 answers
223 views

Computing the p-value using the Kolmogorov-Smirnov goodness of fit test

The Kolmogorov-Smirnov test for the simplified data {1,2,3,4}: KolmogorovSmirnovTest[{1, 2, 3, 4}, UniformDistribution[{0, 5}]] ...
Klaus's user avatar
  • 31
3 votes
0 answers
177 views

Piecewise and ProbabilityDistribution malfunction when used together

Yesterday I opened this question, what had a happy end after all. But when I tried to model more complex discrete random variables using Piecewise instead of ...
Masacroso's user avatar
  • 1,107
3 votes
0 answers
87 views

Evaluating an expectation expressed by a difficult expression

Background I have a 2-dimensional space. The receiver is at the center. The locations of transmitters are given by the PPP $\Phi$ with density $\lambda$. The serving transmitter is the one that is ...
George Harnandez's user avatar
3 votes
0 answers
111 views

Calculate PDF of difference of Max and Min for Gaussian random variables

Although this should be a standard question I didn't find it in SE, and it was a nice exercise in Mathematica. Let $x$ and $y$ be two independent Gaussian random variables with distribution $N(0,1)$. ...
Dr. Wolfgang Hintze's user avatar
3 votes
0 answers
170 views

PearsonChiSquareTest for count/frequency data?

I read with interest a previous question on the PearsonChiSquareTest from a few years ago, and one answer was very helpful: Performing a chi-square goodness of fit ...
Jim's user avatar
  • 43
3 votes
0 answers
108 views

Reliability - Calculate importance factor of random variables in system

I have a system that can fail by 3 different modes. These fail modes functions are ff1, ff2 and ff3. The fail functions have 3 random variables (x, y, z). I can calculate the probabilities of failure ...
LeoRon7's user avatar
  • 477
3 votes
0 answers
126 views

Parsing RLink RObject for aovlist and other object types

There are some slightly similar requests out there (e.g. Getting R textual output into Mathematica ) but I'm wondering if anyone has put together a more general purpose solution to parsing ...
flip's user avatar
  • 1,800
3 votes
0 answers
137 views

What can I do to improve the performance of my calculations?

I'm trying to express a simple probability problem in Mathematica, but am having trouble getting my calculations to execute at a reasonable speed. I have an object whose unknown location is modeled ...
orome's user avatar
  • 12.8k
3 votes
0 answers
1k views

Slow mixture fitting when having ill-conditioned covariance matrices. How to make it faster?

I'm using Mathematica 9.0 to fit multidimensional observations with a gaussian mixture. To do so I first adapted these steps to ensure that the mixture parameters are well defined (see https://...
p-d's user avatar
  • 43
3 votes
0 answers
1k views

Is it possible to marginalize one or several parameters obtained from fitting procedure?

Statistical model analysis package has a few fitting functions. Their arguments are data points, fitting model and parameters in the fit. The result is a set of best values for parameters, which ...
Vladimir's user avatar
  • 1,503
3 votes
0 answers
294 views

Mathematica Complains about Non Symmetric Covariance matrix, when it's not the case

I was doing some fitting with Mathematica7 using NonlinearModelFit. It's quite long the program to do the fit and that's why I am not displaying here ... It goes ok, and I can get the fit parameters ...
pablo's user avatar
  • 723
3 votes
0 answers
146 views

ProbabilityDistribution PDF on boundary points

I would like to evaluate the PDF of a custom ProbabilityDistribution at the min and max values. However, PDF[...] returns 0 at ...
tba's user avatar
  • 585

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