Data covariance

Tuyển tập báo cáo các nghiên cứu khoa học quốc tế ngành hóa học dành cho các bạn yêu hóa học tham khảo đề tài: Separation of Correlated Astrophysical Sources Using Multiple-Lag Data Covariance Matrices

13p dauphong20 11-03-2012 16 2   Download

Fox et al. (1998) carried out a logistic regression analysis with discrete covariates in which one of the covariates was missing for a substantial percentage of respondents. The missing data problem was addressed using the “approximate Bayesian bootstrap.” We return to this missing data problem to provide a form of case study. Using the Fox et al. (1998) data for expository purposes we carry out a comparative analysis of eight of the most commonly used techniques for dealing with missing data. We then report on two sets of simulations based on the original data....

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In panel data models (as in single-equation multiple-regression models) we are interested in testing two types of hypotheses: hypotheses about the variances and covariances of the stochastic error terms and hypotheses about the regression coefficients. The general to simple procedure provides a good guide.

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The Role of Conditional Expectations in Econometrics As we suggested in Section 1.1, the conditional expectation plays a crucial role in modern econometric analysis.

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This book intends to provide highlights of the current research in signal processing area and to offer a snapshot of the recent advances in this field. This work is mainly destined to researchers in the signal processing related areas but it is also accessible to anyone with a scientific background desiring to have an up-to-date overview of this domain.

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Count Data and Related Models Why Count Data Models? A count variable is a variable that takes on nonnegative integer values. Many variables that we would like to explain in terms of covariates come as counts. A few examples include the number of times someone is arrested during a given year

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Tuyển tập các báo cáo nghiên cứu về sinh học được đăng trên tạp chí sinh học thế giới đề tài: Use of the score test as a goodness-of-fit measure of the covariance structure in genetic analysis of longitudinal data

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Tuyển tập các báo cáo nghiên cứu về sinh học được đăng trên tạp chí sinh học thế giới đề tài: EM-REML estimation of covariance parameters in Gaussian mixed models for longitudinal data analysis

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Tuyển tập các báo cáo nghiên cứu về y học được đăng trên tạp chí y học Wertheim cung cấp cho các bạn kiến thức về ngành y đề tài: ZINBA integrates local covariates with DNA-seq data to identify broad and narrow regions of enrichment, even within amplified genomic regions...

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Tuyển tập các báo cáo nghiên cứu về sinh học được đăng trên tạp chí sinh học thế giới đề tài: Effects of data structure on the estimation of covariance functions to describe genotype by environment interactions in a reaction norm model

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Tuyển tập các báo cáo nghiên cứu về sinh học được đăng trên tạp chí sinh học Journal of Biology đề tài: Estimating covariance functions for longitudinal data using a random regression model

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This lecture introduces us to the topic of supervised learning. Here the data consists of input-output pairs. Inputs are also often referred to as covariates, predictors and features; while outputs are known as variates, targets and labels.

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Up to this point, we have discussed what Kalman ®lters are and how they are supposed to behave. Their theoretical performance has been shown to be characterized by the covariance matrix of estimation uncertainty, which is computed as the solution of a matrix Riccati differential equation or difference equation. However, soon after the Kalman ®lter was ®rst implemented on computers, it was discovered that the observed mean-squared estimation errors were often much larger than the values predicted by the covariance matrix, even with simulated data....

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ICA by Tensorial Methods One approach for estimation of independent component analysis (ICA) consists of using higher-order cumulant tensor. Tensors can be considered as generalization of matrices, or linear operators. Cumulant tensors are then generalizations of the covariance matrix. The covariance matrix is the second-order cumulant tensor, and the fourth order tensor is defined by the fourth-order cumulants cum(xi xj xk xl ). For an introduction to cumulants, see Section 2.7.

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Results from the univariate analysis of prostate cancer mortality and incidence do not take into account the effect of different covariables, which might influence the SMR and SIR. Various covariables where considered to model longitudinal effects: age, calendar year, year of immigration, length of stay in Germany; cohort was considered for the analysis of mortality. Multivariate Poisson regression did not show any significant effect of the considered covariables on mortality (data not shown).

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The nature and characteristics of time series data make risk estimation challenging, requiring complex statistical methods su±ciently sensitive to detect e®ects that can be small relative to the combined e®ect of other time-varying covariates. More speci¯cally, the association between air pollution and mortality=morbidity can be confounded by weather and by seasonal °uctuations in health outcomes due to in°uenza epidemics, and to other unmeasured and slowly-varying factors (Schwartz et al., 1996; Katsouyanni et al., 1996; Samet et al., 1997).

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x[i]=sum/p[i]; } } A typical use of choldc and cholsl is in the inversion of covariance matrices describing the fit of data to a model; see, e.g., §15.6. In this, and many other applications, one often needs L−1 . The lower triangle of this matrix can be efficiently found from the output of choldc: for (i=1;i

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The objective of this paper is to estimate the covariance matrix of stock returns. This is a fundamental question in empirical Finance with implications for portfolio selection and for tests of asset pricing models such as the CAPM. The traditional estimator — the sample covariance matrix — is seldom used because it imposes too little structure. When the number of stocks N is of the same order of magnitude as the number of historical returns per stock T, the total number of parameters to estimate is of the same order as the total size of the data set, which is clearly problematic.

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These severe problems may come as a surprise, since the sample covariance matrix has appealing properties, such as being maximum likelihood under normality. But this is to forget what maximum likelihood means. It means the most likely parameter values given the data. In other words: let the data speak (and only the data). This is a sound principle, provided that there is enough data to trust the data. Indeed, maximum likelihood is justified asymptotically as the number of observations per variable goes to infinity.

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In the second panel of the table we show the results of a fixed effects regression. Here in addition to the other controls we include fixed effects for each firm and for each year. In this way we minimize any effects of endogeneity: The fixed effects are likely to pick up any covariation that is caused by particular firms or time periods having unusual characteristics. For example, in the early years of our sample executives held many fewer options as a group.

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