Questions tagged [parameter-estimation]

Questions about parameter estimation. Estimation theory is a branch of statistics that deals with estimating the values of parameters based on measured/empirical data that has a random component. (Def: http://en.m.wikipedia.org/wiki/Estimation_theory)

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How can I derive OLS predicted error term $\hat{e}_i$ as a function of $e_i$?

First of all, I'd like to say that any kind of help would be really helpful, whether it's a hint or a good grad/undergrad book. Right now I'm working with Econometric Analysis of Cross Section and ...
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Calculating the asymptotic normality result of a MLE from a skew-logistic distribution

Suppose we have $X$ with cumulative distribution function $F_X(x) = (1-e^{-x})^\frac{1}{\theta}$ where $x \geq 0, \theta > 0$. How can one find a MLE for $\theta$ from this and the asymptotic ...
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Variance estimator from PCA

I have done a fit of the inverse Covariance-matrix of a multivariate Gaussian distribution. In order to assign an estimate of the standard deviation of the parameters, which includes the correlations ...
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Propagation of Error: Tricky Example

I am having a difficult time finding error bars on a particular quantity. There are two random variables, let's call them $price$ and $color$; color can only be either red or blue. We don't have a ...
Find UMVUE of $\tau=(\lambda-\mu)e^{-(\lambda+\mu)}$ from samples $X_1, \dots, X_n\sim \rm{Pois}(\lambda)$ and $Y_1,\dots, Y_n\sim \rm{Pois}(\mu)$.
Problem Statement We have two independent Poisson samples $X_1, \ldots, X_n$ with means $\lambda$ and $Y_1, \ldots, Y_n$ with means $\mu$. We would like to estimate \$\tau=(\lambda-\mu)e^{-(\lambda+\mu)...