# Tagged Questions

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### How to generalize uncertainty coefficient to set-valued classes?

This question is the reason I asked How to estimate the entropy of a distribution on a power set?
Proficiency (AKA uncertainty coefficient) is an information-theoretic measure of predictor quality, ...

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**3**answers

89 views

### How to estimate the entropy of a distribution on a power set?

Given a probability distribution $(X,p)$, its entropy is defined as $H=-\sum_{x\in X} p(x)\log p(x)$.
Given a sample of observations $x_n,n=1..N$, one can estimate $p(x)=\frac{\#\{i:x_i=x\}}{N}$ and ...

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63 views

### estimating variance of dependent normal distributed data

Let $X_{ij}$ with $1\leq i<j\leq n$ (that are $X_{12},\dots, X_{1n},\dots,X_{(n-1)n}$) be ${n \choose 2}$ identically normal distributed $N(0,\sigma^2)$ such that
$
\text{corr}(X_{ij},X_{rs})=\rho
...

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50 views

### Stochastic process inference from partial observations

Consider a set $U$. My signal is a piece-wise constant "function"
$Sig: t \mapsto s$, i.e. the signal at time $t$ equals to some subset
$s \subset U$. One can see $Sig(t)$ as a stochastic process.
...

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**1**answer

128 views

### Equivalent method for maximum likelihood estimation of covariance parameters

My goal is to estimate the parameters of a covariance matrix $\Omega$, by maximizing the following log-likelihood function:
$$\log L(\vec\tau, \rho, \sigma \mid W, X) = -m\ln(\left | \Omega \right |) ...

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93 views

### Shrinkage (or Stein's phenomenon) in low dimensions, discrete contexts

I am trying to understand shrinkage, or the Stein phenomenon. As someone without a statistics background, the focus in most introductory presentations on normal distributions and squared error loss ...

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155 views

### Pair of two-variable polynomial equations of high order

I have the following pair of equations to be solved for two variables $\rho$ and $D$ resulting from a certain Maximum Likelihood Estimation for a time series $X_n > 0$, $n=0, \ldots, N+1$ with $N ...

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126 views

### Better estimate than Sample mean?

Today I came a cross an old math thing I did some years ago. I remembered that I didn't find a similar result from anywhere at that time but forgot the thing altogether. So now I would like to ask if ...

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95 views

### What are Effective Regression Techniques for Linguistic Analysis of Linked Data?

I am in the early stages of a problem that involves parsing a large number ($\approx 5 \times 10^9$) of documents (web pages) and estimating values from them. In particular I need to identify pages ...

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181 views

### Is an unbiased estimator with arbitrarily small variance necessarily consistent?

Given an unbiased estimator $\hat \theta_n$ of a parameter $\theta$, if the estimator has small variance (approaching $0$ as $n\to\infty$), it seems reasonable to expect that the estimator is ...

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118 views

### Why does the OLS estimator simplify as follows for the single regressor case?

I was reading in "A Guide to Econometrics" that given $Y = X \beta + \epsilon$, the variance covariance matrix of $\beta^\text{OLS}$ is given by $\sigma^2 (X' X)^{-1}$ where $\sigma^2$ is the variance ...

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339 views

### Why doesn't Stein effect happen for multinomial distributions?

(Medeen, et all, 1998)" show that Maximum Likelihood estimate is admissible for multinomial distribution under squared error. On other hand, James and Stein showed that arithmetic average is not an ...

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1k views

### Using Fisher Information to bound KL divergence

Is it possible to use Fisher Information at p to get a useful upper bound on KL(q,p)?
KL(q,p) is known as Kullback-Liebler divergence and is defined for discrete distributions over k outcomes as ...

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258 views

### Is there a text on estimation theory online?

Where can I find graduate level, thorough, parameter estimation/ estimation theory material on the web?