Where can i find 'getting started' resources for statistical prediction - MathOverflow most recent 30 from http://mathoverflow.net 2013-06-18T21:12:37Z http://mathoverflow.net/feeds/question/5342 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/5342/where-can-i-find-getting-started-resources-for-statistical-prediction Where can i find 'getting started' resources for statistical prediction sidmitra 2009-11-13T13:16:24Z 2010-02-13T17:22:31Z <p>I wanted to learn prediction, forecasting etc. I also have time series data on millions of online videos. I would like to test out prediction algorithms etc on this data set, for eg. Linear Prediction, Kalman filter. </p> <p>Are there any good resources out there to get me started on those?</p> <p>Edit: Let me rephrase the question. If you were given such a time series data set with a million videos with some number of attributes to each, what steps/path path would you take to come up with a decent view prediction scheme? For example, factor analysis or PCA etc first.</p> http://mathoverflow.net/questions/5342/where-can-i-find-getting-started-resources-for-statistical-prediction/5350#5350 Answer by Rhubbarb for Where can i find 'getting started' resources for statistical prediction Rhubbarb 2009-11-13T14:30:13Z 2009-11-13T14:30:13Z <p>The following might be of some help</p> <p><a href="http://en.wikipedia.org/wiki/Linear_regression" rel="nofollow">linear regression</a></p> <p><a href="http://en.wikipedia.org/wiki/Bayesian_inference" rel="nofollow">Bayesian inference</a></p> <p>(possibly).</p> http://mathoverflow.net/questions/5342/where-can-i-find-getting-started-resources-for-statistical-prediction/7862#7862 Answer by persi for Where can i find 'getting started' resources for statistical prediction persi 2009-12-05T12:56:56Z 2009-12-05T12:56:56Z <p>Row being a time series of observations for each video? I suggest you aggregate the cross section dimension first, to see the most general patterns like seasonality at different frequencies (daily, weekly etc). It should give you an idea of how to make the series stationary, which will allow you to use regression tools. Then a large pooled OLS regression probably with dummy variables for some of the attributes is in order, and you can proceed with classifying the residuals of this regression. It should give you a basic idea of what the data looks like, actual prediction process will be model specific and depend on which features of the data (like time series vs attributes dimension) you find the most persistent.</p> http://mathoverflow.net/questions/5342/where-can-i-find-getting-started-resources-for-statistical-prediction/10489#10489 Answer by Alekk for Where can i find 'getting started' resources for statistical prediction Alekk 2010-01-02T15:13:20Z 2010-01-02T15:13:20Z <p>the very good book <a href="http://www-stat-class.stanford.edu/~tibs/ElemStatLearn/" rel="nofollow">The Elements of Statistical Learning:Data Mining, Inference, and prediction</a> is available online. It is certainly not all about statistical prediction, but it contains very interesting and non trivial chapters.</p> http://mathoverflow.net/questions/5342/where-can-i-find-getting-started-resources-for-statistical-prediction/10492#10492 Answer by liza for Where can i find 'getting started' resources for statistical prediction liza 2010-01-02T16:09:20Z 2010-01-02T16:09:20Z <p>another good resource is: Fundamentals of Statistical Signal Processing by Kay.</p> <p>It is mainly about estimation theory. Might be too academic for your needs, but it is definitely a good introduction to the theory of prediction and filtering (linear regression and Kalman filtering are also dealt with). It has strong emphasis on application and not just theory.</p>