Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [iteration-methods]

16 questions
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An estimation method/algorithm for estimating the value of a specific parameter in a convex function

I am looking for an estimation/iteration process to estimate the value of a specific unobserved parameter of a convex function that fits the observed data of the other variables closely. Specifically, in the following equation b, v, r and n are…
Koula
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What Lp distance should one use to calculate distance between weight vectors or vectors of regression coefficient to check convergence?

What Lp distance should one use to calculate distance between weight vectors or vectors of regression coefficient to check convergence in iterative optimization?
Germania
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Binomial riddle

I have a riddle that i cannot solve: I'm a recruiter searching for the best basketball player in a town. There are 100 candidates in the town. 99 of them have a probability of basket the ball of 0.501, 0.502, 0.503,...,0.597, 0.598, 599…
wanttoknow
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Limiting distribution of iterative applications of Bayes' rule

The question Suppose we iteratively use the posterior as the prior on the same data.* What is the limiting distribution of the posterior? Let's make that precise. The data $X$ and the likelihood function $P(X\mid\theta)$ are fixed throughout. We…
dwolfeu
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Why Weighted Ridge Regression gives same results as weighted least squares only when solved iteratively?

I was experimenting with weighted ridge regression for a linear system, where the closed-form solution is given by: $$ b =(X^T WX + \lambda I)^{-1}X^T W y $$ and also weighted least squares whose closed-form solution is given by $$ b =(X^T…
Banks
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What is an example of a systems problem that can be solved by either 'matrix inversion' or an 'iterative procedure' to arrive at the same result?

I recently heard over a radio program (in French) that a given problem - can't recall it exactly, but it involved solving large systems - could be solved "through matrix inversion" or "through an iterative procedure", with both procedures arriving…
StatsScared
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Is it possible to go back to initial point from kth iterated point in a Newton Raphson method?

I am trying to find preimage of a kth iterated point under Newton method. Is it possible to find an initial point from which the kth iterated is derived?
Lakshman
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AR(p) by iterated vs. lag method. Different results

Reading "Applied Econometrics Time Series" By Walter Enders I am trying to derive the stationary AR(p) model as he does on page 58, fourth edition. This is the AR(P) model \begin{equation} y_t=a_0+\sum_{i=1}^pa_iy_{t-i} +\varepsilon_t \label{ARp}…
Anders
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Maximum Likelihood Estimation Question: why do we need starting values?

I am trying to understand the principles behind Maximum Likelihood Estimation. And I would be appreciative if someone spotted any misunderstandings or else confirmed that I am understanding this correctly. Following is in the context of normal…
PsychometStats
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Whats is the difference between using risk() and cvrisk() in the R package mboost

I am currently running an additive model using the function gamboost() in the package mboost. When using the cvrisk() function to extract the stopping iteration, it takes a lot of time to compute it. However, I saw that there is another function…
Johny Arm
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What is it called cumulative of every X previous days?

Let's say I have sales number of last 60 days. I can just draw a graph to see how sales has changed overtime. Numbers vary in different days, like on weekends sales numbers decrease. However, I would like to get sum of every last X days of…
SNaRe
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Iterated estimation of Taylor series

Say your data generating process is given by the function $y=f(x|\theta)$, where $y$ and $x$ represent variables (data) and $\theta$ represent parameter(s). For convergence reasons (e.g. $f(\cdot)$ is highly non-linear on parameters and a GMM…
luchonacho
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Finding root of an equation using minima whose root starts from 0

Suppose I have an equation f(x)=0. I'm trying to find the root of this equation using Newton Raphson method. But when I'm trying to plot this function, the function is starting from 0, that is for x=0 or very very close to 0, this function becomes…
Debayan Koley
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Why do we need iterative approach for Weighted Least Squares

While I understand why we need to iterate in the case where we are solving non-linear weighted least squares or iteratively reweighted least square. But I do not understand why there is a need to iterate as shown below in the case of a linear…
Banks
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Using a "drill-down" regression procedure - Going from domains to individual items

I'm working on a regression analysis which involves eight symptom domains comprised of individual survey items. As is the procedure in my lab, the domain scores are simple averages of the corresponding items. I started with a stepwise logistic…
letsplayhorse
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