1925 search results for "regression"

Inference for AR(p) Time Series

January 28, 2014
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$Y_t =\varphi_1 Y_{t-1}+\varphi_2 Y_{t-2}+\varepsilon_t$

Consider a (stationary) autoregressive process, say of order 2, for some white noise with variance . Here is a code to generate such a process, > phi1=.25 > phi2=.7 > n=1000 > set.seed(1) > e=rnorm(n) > Z=rep(0,n) > for(t in 3:n) Z=phi1*Z+phi2*Z+e > Z=Z > n=length(Z) > plot(Z,type="l") Here, we have to estimate two sets of parameters: the autoregressive...

How to convert odds ratios to relative risks

January 27, 2014
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My short paper on this came out on Friday in the British Medical Journal. The aim is to help both authors and readers of research make sense of this rather confusing but unavoidable statistic, the odds ratio (OR). The fundamental … Continue reading →

New in forecast 5.0

January 26, 2014
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Last week, version 5.0 of the forecast package for R was released. There are a few new functions and changes made to the package, which is why I increased the version number to 5.0. Thanks to Earo Wang for helping with this new version. Handling missing values and outliers Data cleaning is often the first step that data scientists...

Tuning optim with parscale

January 26, 2014
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I often get questions what is the use of parscale parameter in optim procedure in GNU R. Therefore I have decided to write a simple example showing its usage and importance. The function I test is a simplified version of estimation problem I had to sol...

Accurate imputation and valid statistical inference with ensemble

January 25, 2014
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Imputation is predictive inference and not causal inference! I have met many people, who consider the two are equivalent. Their reasoning is based on the belief that if you can produce a model which replicate the data generating...

Online class on Statistical Learning

January 24, 2014
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Trevor Hastie and Robert Tibshirani are teaching an online class on Statistical Learning starting this week. The first week is introduction and overview, so it's not too late to join up. They've also published a new book, An Introduction to Statistical Learning, as a more accessible companion to their widely revered The Elements of Statistical...

Rob Hyndman on Forecasting

January 24, 2014
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If you have an interest in forecasting, especially economic forecasting, the Rob Hyndman's name will be familiar to you. Hailing from my old stamping ground - Monash University - Rob is one of the world's top forecasting experts.  Without going into all of the details, Rob is very widely published, and also...

Coursera Specializations: Data Science, Systems Biology, Python Programming

January 22, 2014
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I first mentioned Coursera about a year ago, when I hired a new analyst in my core. This new hire came in as a very competent Python programmer with a molecular biology and microbial ecology background, but with very little experience in statistics. I got him to take Roger Peng's Computing for Data Analysis course...

Statistical modeling and computation [book review]

January 21, 2014
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Dirk Kroese (from UQ, Brisbane) and Joshua Chen (from ANU, Canberra) just published a book entitled Statistical Modeling and Computation, distributed by Springer-Verlag (I cannot tell which series it is part of from the cover or frontpages…) The book is intended mostly for an undergrad audience (or for graduate students with no probability or statistics

Estimating a nonlinear time series model in R

January 20, 2014
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There are quite a few R packages available for nonlinear time series analysis, but sometimes you need to code your own models. Here is a simple example to show how it can be done. The model is a first order threshold autoregression:     where is a Gaussian white noise series with variance . The following function will generate...