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Results tagged with st.statistics
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user 75422
Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.
2
votes
Accepted
Gaps between descending order statistics
If the $X_i$ are independent and uniformly distributed on $[0,1]$, the (finite) point process $\sum_1^n \delta_{nX_i}$ converges in law to a Poisson point process on $\mathbb R^+$ with unit intensity, …
- 3,085
1
vote
Average Multivariate Gaussian
No, a mixture of Gaussians is not Gaussian: $\exp[-(x-1)^2]+\exp[-(x+1)^2]$ is very different from a constant times $\exp[-x^2]$.
- 3,085
1
vote
Average Multivariate Gaussian
A sum of independent random variables is Gaussian if and only if each of them is Gaussian (Cramér, 1939). Apply this to $X_1$, which is the sum of a centered Gaussian with variance $1$ and an independ …
- 3,085
1
vote
How can the Kalman filter be adapted to handle binary observations?
What I would try when facing such a problem:
1°) Minimize $\lambda\int p'(t)^2\ dt +$ the sum of informations $\log (1/p(t_k))$ if heads at $t_k$, $\log (1/[1-p(t_k)])$ if tails.
2°) Chose $\lambda$ …
- 3,085