Questions tagged [overlapping-data]
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87 questions
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Correcting overlapped bias in time series? Moving window sum
I'm trying to calculate CDF tail slope of annual log returns $P \left(X \ge x \mid X>u \right) \sim C x^{-\alpha}$(Pareto tail exponent). The data - monthly log returns.
Problem - if annual log ...
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Can I use rolling monthly return data as an independent variable in a VAR model?
I'm working with time-series financial data and want to estimate a Vector Autoregression (VAR) model using monthly data for multiple asset classes.
Instead of using raw monthly returns, I plan to use ...
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Using Engle and Granger for overlapping data
OLS with overlapping data tends to overstate the $R^2$ and $t$-stats in large part due to autocorrelation in the residuals. YoY growth rates, PMIs are not I(1) but they're not I(0) either. Can we ...
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Finding the average for overlapping measurements [closed]
I have this problem at work, and I'm looking for the best way to solve it. I have a device that takes a measurement across an area of a sample. The sample is larger than the device's scan area, so ...
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How do you specify a regression model when both the response and explanatory variables are autocorrelated?
I have two sets of data points:
Each data point (y_t) in the first set represents the annualized return for the next ten years of monthly return data, i.e., this is forward-looking data, so my last ...
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Comparing correlations for two variables in different overlapping groups
I have a sample where I have applied five (wildly differing) diagnostic definitions for the same disease. For example, 50% of people who are disease cases under diagnostic definition 1 are not disease ...
- 326
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Time series regression on mixed frequency overlapping data
I have an hourly univariate time series. I am trying to see if the next hour, day, week etc changes are forecastable from the past changes. The ACF and PACF of the data both look similar and show some ...
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Comparing forecasts under overlapping rolling evaluation windows
Two models with differing assumptions each purport to provide a forecast for a vector of values 1 year in the future. Each model has been run at the start of each month for three years:
Run Date
...
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Comparing distribution of a biomarker among patients with overlapping clinical features
I have a question how to compare the distribution of one tested biomarker among patients with different overlapping clinical syndromes.
In my case, I am investigating patients with multiple sclerosis ...
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462
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rolling mean series - strong autocorrelation
I need to works with time-series of rolling means of a certain variable that comes from the data. I have this rolling means for N different individuals. Call them Y. I would like to test some ...
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How to organize an overlapping ordinal variables?
I am analyzing some data with attributes about how long it takes to commute, and it is an overlapping ordinal variable like the following:
Time
Number of People
1-5 minutes
10
6-10 minutes
24
less ...
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Measuring similarity between two datasets
This is quite straightforward:
I have a dataset with 8 features containing cell measurements from a patient. I want to compare two patients to a reference one. To do this I perform UMAP to reduce the ...
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Best way to rank list of values having overlapping uncertainties
I have a list of individuals and their success rates on a task. The count of tasks for each varies widely, so the uncertainty in the estimates of their proficiency varies. Furthermore, typical ...
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395
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Overlapping vs non-overapping windows in random walk
Consider a simple random walk. I am trying to compute the variance of differences over a window of certain size dw which could, for example, model returns of a ...
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When two distributions overlap, how to separate one distribution from the mixture distribution if I the other distribution is known?
I have a data which can be classified into two groups. As you see, Figure(a) shows that they are easily classified into group A and B. However, sometimes they are overlapped and it is impossible set a ...