Questions tagged [overlapping-data]
60 questions
7
votes
2 answers
Covariance estimation of overlapping time series
I have two series $x_t,z_t$, and compute the differences like $\Delta_h x_t=x_t-x_{t-h}$. What is a good estimator of the covariance of changes?
$$Cov[\Delta_h x_t,\Delta_h z_t]$$
The intervals are overlapping, so the series $\Delta_h x_t$ are…
Aksakal
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7
votes
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Empirical distribution function of overlapping time series data
If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions.
On the other hand practitioners sometimes use rolling, overlapping data. Treating them as…
Richi W
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6
votes
1 answer
$R^2$ and adjusted $R^2$ in presence of overlapping observations
Given a linear model
$$
y=X\beta+\varepsilon,
$$
the population value of $R^2$ is
$$
R^2=1-\frac{\text{Var}(\varepsilon)}{\text{Var}(y)}.
$$
The vanilla estimator of $R^2$ is
$$
\hat…
Richard Hardy
- 54,375
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5
votes
1 answer
Misguiding data relationship between Y and X?
Background:
I am currently surveying a number of articles related to subject of urban sprawl. One of the things that I have come across multiple times in the literature (a thing which seems to bother me), is a somewhat strange relationship between…
Michael W
- 53
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5
votes
0 answers
Using overlapping data as if it was not
I am looking again at a popular statistical testing method used in finance, suspect it's a bit naughty, but would like to have a more experienced eye take a look also.
The method is the following,
estimate a percentile (i.e. the "value at risk") of…
user3264325
- 181
- 3
4
votes
2 answers
The minimum number of classes in the case of overlapping classes
I've a set of elements that should be grouped in the minimum number of groups, each element belongs to overlapping classes, for eg:
a belongs to the classes x , y , z;
b belongs to the classes x , y;
c belongs to the classes x;
d belongs to the…
geogeek
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4
votes
0 answers
Forecasting with annual data that has a rolling quarter
I want to fit an ARIMA model for forecasting on a quarterly basis, but my data is a rolling year, updated quarterly, how can I use this most effectively? I'm really interested in the best estimate of the future quarterly value I can get.
On the one…
user89104
- 41
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3
votes
1 answer
Bias of overlap sampling
Say I have a series $x_1, ...., x_N$ independently drawn from $Normal(0,1)$
Say I create sub-samples
$y_1 = x_1+..x_n$,
$y_2 = x_2+..x_{n+1}$,
$y_m = x_{N-n}+..x_N$,
I was expecting $std(\{y\}) = \sqrt(n) std(\{x\})$
where $std(\{y\})$ is the…
user1612986
- 133
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3
votes
0 answers
Spatial regression with overlapping areas
Is it statistically correct to calculate a regression with overlapping areas? I have market areas as the spatial unit with different sociodemographic and (macro)economic variables and I´m examining their influence on insurance demand. The market…
Mapos
- 131
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3
votes
0 answers
Correcting estimate of covariance/correlation with overlapping/autocorrelated data
I'm wondering how to correct for the presence of autocorrelation/heteroscedasticity in estimating sample covariance matrices from data.
I know there have been some questions on this before:
Covariance estimation of overlapping time…
Michael
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3
votes
1 answer
Defining overlapping periods
I have a dataset containing the abundance of migrating bird species. In the figure below you can see that there are two "bell" shapes that are overlapping somewhere around September. One of the bell shapes represents the north migration and the…
Robbie
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3
votes
0 answers
Correlation and coefficient with overlapping data
I have a time series data, with 5-period rates sampled at 1 period intervals.
Essentially
$$r_i = x_{i+5} - x_i ; ~~ i=1,...,N-5$$
This creates an overlapping data problem for regression. As far as I understand OLS estimates are unbiased but…
ssj3892414
- 61
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2
votes
2 answers
How to get the estimated means and standard deviations of two overlapping circular normal distributions?
I have the following plot:
Overlapping circular normal distributions
I would like to estimate the means and standard deviations of the apparent overlapping normal distributions. This is slightly complicated by the fact that since the data is based…
Mark Solinski
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2
votes
1 answer
Why do two confidence intervals only overlap when their difference $(\theta_1 − \theta_2) \pm z(SE_1 + SE_2)$ includes 0?
I am able to check if the interval contains 0 which I can find out by just plugging numbers into the above formula but I am curious as to why this interval containing zero means that the two CI's of $\theta_1$ and $\theta_2$ overlap.
Anthony
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2
votes
1 answer
Bayesian framework - Prior and Likelihood independence
I've a question on how, if ever needed, one can deal with the possible overlapping dependence of prior information and current data.
Basically, I was given the output parameters of a regression that was completed. While I have the context of the…
r_user
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