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I am having difficulty in how to calculate the Pearson's $\chi^2$ statistic for a contingency table with entries: (3, 0) and (0, 3) (row-wise). I was studying Agresti's categorical data analysis and found this table. He calculated it as 6. Through what calculation did he reach this answer?
I have the following hypothesis: Novice drivers perceive road environments as more difficult when there are more pedestrians. I have the following data: The category each driver falls in to (1. Novices, 2. Experienced, 3. Advanced) Number of pedestrians identified in 5 separate sections for 26 drivers Ranked diffic...
I have data grouped into category A and category B. My hypothesis: the data in category A is closer to zero than category B. What statistical tests can be used? Thanks
I am trying to use random effects on both the location and scale parameters in a lognormal regression. As you can see in the JAGS code below, I am essentially fitting a accelerated failure time model with interval censored log-normal failure times. I am having problems coming up with decent non-informative priors for...
I completed the ml-class offered by Prof Andrew Ng last fall I started trying one of the problems in Kaggle When I fit a logistic Regression, the algorithm gave me poor results. I saw that people do lot of data analysis before applying any machine learning algorithm I completed a book in Statistics and want to learn ab...
When I calculate a prediction, for instance I am trying to find out who is going to win elections and I do that by asking people who they voted on. After a certain number of answers my data will stop changing. The chance percentage of being elected will stop changing. Is there a special analytical or statistical defin...
Given $y=f(x)+\epsilon$ where $x=(x_1,\dots,x_p)$, $f$ is highly non-linear and two different estimators: $\hat{y}=\hat{M}(x)$ $\hat{y}=\hat M_1(x)+\hat M_2(x)$ where $M_1$ is a simple (biased) model and $M_2(x)=E[y-\hat M_1(x)|x]$. Can you tell me when the second estimator (two-step modelling) will give better predi...
Apparently Wooldridge, Introductory Econometrics, 2002ed is the only book showing that two-stage least squares (2SLS) is asymptotically efficient. I cannot get a copy of the proof. Is it correct to just use the generalized method of moments (GMM) proof substituting in the instrumental variables?
Given $f\left(x|\theta\right)=1/\theta, 0\leq x\leq \theta,L\left(\theta, a\right)=\left(a-\theta\right)^2,$ and $\pi\left(\theta\right)=\theta e^{-\theta},\theta\gt 0$ I've seen Problem calculating joint and marginal distribution of two uniform distributions, but it's not what I'm looking for. Problem: calculate the m...
Prove that FGLS is asymptotically efficient. Does one have to use Cramer Rao to do this?
If I have a time series regression model with serially correlated errors: $Y_t=\beta_0+\beta_1X_t+\epsilon_t$ $\epsilon_t=\rho\epsilon_{t-1}+v_t$ why is the estimate of the correlation ($\rho$) in the second equation NOT the autocorrelation of the residuals from the first equation? The autocorrelation of the residuals ...
I have 3 vectors which are unequal in size (lengths: 21, 33 and 7). Each vector contains ratio of bug-to-duplicate bugs in 3 different time periods. I have to find whether there is a difference between the 3 groups. I cannot use one-way ANOVA since the groups have unequal sample sizes and unequal variances. I cannot us...
I'm looking for ideas on how to discover cheating in sports that have judges awarding points. I can't name the sport since I participate in it at the moment. It's been known for a long time that this sport has rampant collusion behind the scenes. In each competition there are competitors who are evaluated on skill by ...
Possible Duplicate: When is it ok to remove the intercept in lm()? I have some regression output from R: Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) -28.84775 29.71148 -0.971 0.341 sqft 0.17091 0.01545 11.064 2.48e-11 *** lotsize 6.77770 1.42129 ...
There seem to be several options available for working with Gaussian Mixture Models (GMMs) in Python. At first glance there are at least: PyMix: Tools for mixture modeling PyEM [dead link], which is part of the Scipy toolbox and seems to focus on GMMs Update: Now known as sklearn.mixture . PyPR: pattern recognition an...
if I use values (1,0) for a categorical column in X... does it lead to any ill conditioned matrices during OLS/ robust regression?.
Why bother with p-values, R squared, etc. ... Model size is not a factor with the computing power available now so why not just run multiple iterations of all possible sets of input variables and see which one has lowest cross-validation error?.
Suppose we have a classical k-means where iteratively each datapoint is assigned to its nearest center. After a certain time, suppose that we change the dataset by another similar dataset containing some additional classes, and I want to cluster it using only one pass, and allowing the number of clusters K to increase...
I have read different papers about Gaussian Processes and Carl book as well, I noticed that they sometimes refer to parameter optimization by maximizing marginal liklihood, and in other contexts they reffere to it as optimizing by minimizing -ve log marginal liklihood! Is there a difference between the two? or they ar...
I'm using the kernlab package in R to build an SVM for classifying some data. The SVM is working nicely in that it provides 'predictions' of a decent accuracy, however my list of input variables is larger than I would like and I am unsure as to the relative importance of the different variables. I'd like to implement...
I am trying to implement SVM and i did my parameter selection(grid search) on the whole data and used the best values of C and gamma from that search to test on the testing data. Sometimes, the cross-validation accuracy, i get is 100%. Is this method wrong? What is the correct way of doing? How should i go about to do ...
I have forecasts and actuals for panel data (i.e. time-series cross-sectional data). The forecasts are already generated and provided by some source outside of R. I'd like to evaluate the quality of the forecasts. Are there standard tools in R that perform various diagnostics on the residuals? By diagnostics I mean tes...
CARET is a convenient tool that wraps dozens of modelling methods. CARET allows the user to access performance statistics such as RMSE, confusion matrices, etc. in a generic way without having to recall the usage of various modeling methods. However, some models have unique reporting outcomes. For example, with a boost...
I've got a set of multivariate regression models, with weights, that I'm trying to compare in R. Looks like: f0 <- lm(cbind(Y1,Y2,Y3,Y4) ~ co1 + co2 + co3 + co4 + x1, dat, weight=wt) f1 <- lm(cbind(Y1,Y2,Y3,Y4) ~ co1 + co2 + co3 + co4 + x1 + x2, dat, weight=wt) f2 <- lm(cbind(Y1,Y2,Y3,Y4) ~ co1 + co2 + co3 + co4 + x1 +...
I wonder if anyone has put into use the autoregressive metric for ARIMA clustering proposed by Corduas and Piccolo (2008). The authors define the distance autoregressive metric between two processes $X, Y$ as: $$\text{d}(X,Y)=\sum_{j=1}^m \left| (\pi_j,x-\pi_j,y)^2\right|\qquad (1)$$ for $j=1$ to $m$. So in standard ...
A retrospective cohort study basically is classifying people based on exposure status. The disease and exposure have already occurred. So we can also classify people based on cases and look at whether they were exposed or not. Thus can we change a retrospective cohort study into a case-control study?
I am specifying a sample of weekly work records to be entered into a spreadsheet for an estimation of means on two variables. There are about 250 employees, I am only interested in weeks between a specific date and the present, the total universe of possible work weeks is 28,538. Because we wanted to assure that the ...
I want to write a discrete event simulation. I downloaded bus traces (long. and lati. (x and y coordinates)) data from crowded group at Darmouth. When I run statistics tests, x and y data are correlated, so I cannot consider them as two separate distributions. Traditionally, we have a probability distribution, and we g...
I have a random variable $Z$ which takes values in the nonnegative integers $\{ 0,1,2,\dots \}$, call the probabilities for each outcome $z_k:=P[Z=k]$. I can sample from $Z$'s distribution independently and cheaply; I currently have a sample size of $2^{28}$. It appears that $z_0\approx 0.24, z_1\approx 0.18,\dots$, w...
CARET will automatically use a pre-specified tuning grid to build various models before selecting a final model, and then training the final model on the full training data. I can supply my own tuning grid with only one combination of parameters. However even in this case, CARET "selects" the best model among the tunin...
I am building GP regressor , my input data is 1-d column vector and so is my target. I have divided my data into training and testing sets. I trained the model to learn the hyper-paramters and then plugged in my input test cases, and I expected to see their corresponding outputs as in the following lines of code : % Sp...
I have a noob question for you. I have run two experiments: A and B. Between the two experiments I changed an element which should not change the results. I want to check that the results of experiment B do not contradict the results of experiment A. The results for each experiment are a series of integer counts. I wou...
Is there a way to retrieve the R square value from a ctree model? Or is this impossible with how the function runs? Thanks!
I ran Tassel3 and I filtered results with p-value not more than 0.05. This way, it is ok to draw a Manhattan plot. However, for a QQ-plot there is a problem. Say I have 40 thousands SNPs, after filtering, about 1,800 SNPs were kept in the output file. Now how do I draw QQ-plot because of partial p-values? ppoints ...
One of the most widely used interpretation of effect size is Cohen's $d$, as follows: $<.10$: trivial $[.10,.30]$: small to medium $[.30,.50]$: medium to large $>.50$: large to very large This appears to be the standard in psychology. I am wondering if there is such a standard in sociology or social science in gene...
How are (linear) mixed effects models normally compared against each other? I know likelihood ratio tests can be used, but this doesn't work if one model is not a 'subset' of the other correct? Is the estimation of the models df always straightforward? Number of fixed effects + number of variance components estimated? ...
Because I find them fascinating, I'd like to hear what folks in this community find as the most interesting statistical paradox and why.
How does the expected value of a continuous random variable relate to its arithmetic mean, median, etc. in a non-normal distribution (eg. skew-normal)? I'm interested in any common/interesting distributions (eg. log-normal, simple bi/multimodal distributions, anything else weird and wonderful). I'm looking mostly for ...
I'm working with panel data and want to fit a model of the form: $y_{ij} = \alpha_{i} + \beta_{1i} x_{1ij} + \beta_{2i} x_{2ij} + \beta_{3} treatment_{ij} + \epsilon_{ij}$ The data consist of (unbalanced) time series for a number of individuals, each of which received the treatment at a different time. For each indiv...
I've just been introduced (vaguely) to brownian/distance covariance/correlation. It seems particularly useful in many non-linear situations, when testing for dependence. But it doesn't seem to be used very often, even though covariance/correlation are often used for non-linear/chaotic data. That has me thinking that th...
Is AR(1) process such as $y_t=\rho y_{t-1}+\varepsilon_t$ a Markov process? If it is, then VAR(1) is the vector version of Markov process?
When preparing a summary document for policy-makers, it's fairly common to include a graphic that represents how the optimal policy solution varies with two variables. It may be the result of a formal or informal optimisation analysis. Below is an example of such a graphic. The graphic partitions the chart area into co...
I am new to R. I am building predictive model with gbm package. I have a problem that I retrieve different results for data from data frame that was used for building of the model and for separate data frame with same values. I randomly divide my data to two sets, training set is loaded to `head': head <- read.csv(......
I have this statement, but I want to be able to add a probability statement to it, like "I'm 87% sure.." Here is the data I have I'm 100.00% sure that grpn will go down the next day, because it's happened 3 of the last 3 times. Min move of 0.66% Max move of 16.54% Avg move of 8.74% I want to say (...
I am using a relevance vector machine as implemented in the kernlab-package in R, trained on a dataset with 360 continuous variables (features) and 60 examples (also continuous, so it's a relevance vector regression). I have several datasets with equivalent dimensions from different subjects. Now it works fine for most...
How significant is a value compared to a list of values? In most cases statistical testing involves comparing a sample set to a population. In my case the sample is made by one value and we compare it to the population. I am a dilettante in statistical hypothesis testing confronted with perhaps the most basic problem. ...
Let $A$ and $B$ be two algorithms to solve the same problem and $f(.)$ be the evaluation criteria of the solutions. I use $\frac{f(A(I))}{f(B(I))}$ to find the relative performance of the two algorithms. Both $A$ and $B$ take a list of positive numbers as input. I want to show that algorithm $A$ works much better (comp...
I'm using libsvm and the 3-fold cross validation to select the best C and gamma, but I'm not sure for the range to use in the grid search. Is there any standard way to choose this range? I used: log2c =(-10:3:4) and log2g=exp(-10:3:4) If I change the tolerance -e, the result change, can any one clarify tis point for m...
I am using a linear regression model to perform inference on some observational data. The samples are from an observational study and highly skewed along some of the dummy variables in the regression. My understanding is this is okay as long as the the errors are uncorrelated and have unequal variance. The predictions ...
Recently I found that the PROC GLIMMIX procedure in SAS added a statement effect, which can handle B-spline in models. I tried it, and the program looks like: proc glimmix data=temp; effect t = spline(time); model y = x1 x2 t / solution; random intercept / subject=id type=un; run; It is ok to get outputs, ...
I am looking for a good software system to teach students on response surface designs with. Few things I can think of are SAS Proc RSReg or SAS ADX. Is there any other software?
I used MATLAB neural network toolbox to train a self-organizing map for a given data set. The obtained "weight-position" plot is given as follows. I do not think this plot looks good in comparison to the sample plot given in the MathWorks website. I followed the standard MATLAB routine to train this SOM. Thus, I am h...
Notation: $\dot{Z}_t = Z_t - E(Z_t)$, so that it is centered at 0. $a_t$ stands for the residual and we assume the $a_t$ are independent and normally distributed with mean 0 and constant standard deviation $\sigma_a^2$. And, when I say stationarity, I mean weak stationarity and not strict stationarity. In my time ser...
I have built a multivariate regression model where $\mathbf x$ is the variable vector. Now I am asked to calculate the confidence interval for the number to treat (NNT) at $\mathbf x=\mathbf {x_0}$ which in turn requires to build the confidence interval for $p=Pr(1|\mathbf x=\mathbf {x_0})$. I'm using JMP which, to my ...
I have been a contract worker for two different companies now, which means I show up at a place for 3-6 months and blow their minds with my awesomeness, but then, to everyone's disappointment, I leave. This is great for me, since I get a new workplace with new problems, but it can be troublesome for the place I left, s...
Is there a systematic approach or a specific methodology by which we can choose covariance functions that best suit a particular data set? Was carl in his GPML evaluating the suitability of the covariance function when he computed the value of nlml?
The data Suppose we have a dataset d with two between-subject factors (i.e., groups), group and condition, and two within-subject factors (i.e., repeated-measures factors), topic and problem (I uploaded the data to pastebin, so everybody should be able to obtain it): > d <- read.table(url("http://pastebin.com/raw.php?i...
How do I compute a confidence level for a forced ranking survey? For example, say I have 10 categories, each with four associated statements that must be ranked either 1, 2, 3 or 4 with no duplicate ranking within the category (forced ranking). Say I get fifty responses. How do I compute the confidence level/margin ...
I am trying to select the correct model for analyzing data from a behavioral sciences experiment. The experiment consists of eight trials for each participant, and each experiment generates a score on the interval [0--8] for each participant. Each trial within the experiment can be conceived of as a binomial choice. Th...
What factors make for a great statistics book? In other words, what writing styles, visualizations, explanatory methodologies, text length(!), tone, depth, etc, etc contribute to giving the audience a great education, understanding, or perhaps even entertainment? The question could perhaps also be framed as "What advic...
I am looking for a nice concise statistics book that summarizes how to do the experimental designs properly, and maybe some algorithms people in the field have discovered. What are the best books for this?
I know that HMMs can be used to construct statistical models of text. Thus, we can generate text according to this model, and compute the likelihood of a text sample under the model. What tools are used to construct statistical models of websites or webpages? Basically, it means things like various paragraphs, headings...
You test a classifier on a test set consisting of 10 iid items. The classifier makes 2 mistakes. Assume the true error rate is $x$. Let the prior be $ x \sim Beta(\alpha, \beta)$. Derive the posterior given the classifier's performance. I know that to calculate the posterior, I use the definition $p(\theta|X) \propt...
The Binomial distribution models the number of successes in N trials, but the successes can be in any order. What's the distribution for when the successes have to be in a specific order? Do you just drop the binomial coefficient?
I am evaluating a multi class classifier. As precision and recall are only defined for binary classification I want to create precision recall curves for every class by separating one class from all other classes. Using one-vs-all SVMs it’s very simple. For each class the appropriate SVM delivers a score which can be u...
I am trying to forecast the sales of products in vending machine. The problem is that the machine is filled at irregular intervals and at every fill we only can record the aggregated sales since the last fill of the machine (i.e. we don't have daily sales data). So basically we have data for aggregated sales at irregul...
I have too many environmental variables to use in a multiple regression analysis. If I use all the variables the models are just too complex. The use of the PCA axes in the regression analysis was impossible to interpret (since there wasn't a clear correlation with environmental variables), so we chose to select a limi...
This morning I woke up wondering (this could be due to the fact that last night I didn't get much sleep): Since cross-validation seems to be the cornerstone of proper time-series forecasting, what are the models I should "normally" cross-validate against? I came up with a few (easy) ones, but I soon realized they were ...
Had a general questions. Are there any good non-linear models with regularization? I've heard of some linear models with regularization but not too many non-linear ones. I understand that you can use SVMs, which have built in regularization, but just curious what else might be available. Thanks
I have written C++ code to calculate the exact Jonckheere Terpstra distribution (and therefore p-value) by enumerating all the possible combinations. I've found that PROC FREQ in SAS has option JT and exact which calculate the same p-value. As a relative newcomer to SAS, I was wondering if anyone could offer insight in...
This post is a follow up on my previous post (which was interested in lme) and uses the same dataset. Now I would like to know how to analyze it using lme4. The data The data is from a behavioral experiment in which participants in 6 groups (based on two crossed factors) worked on 16 trials (two crossed 4-level factors...
I need to find the correlation between two data sets that are nonlinear and only have values between 0 and 10. Both sets contained the same number of values. I've tried using Pearson's R and introducing some linearity by adding n+10 to each data point. That however introduces strong correlation where there really shoul...
Let's say I have some simple code like what is below. proc sort; by var1 var2; run; proc gplot; plot y*x ; by var1 var2; run; In the output, there are a bunch of graphs. In addition to all the combinations of values of var1 and var2, I also get charts where var1=. in combination with each value of var2 (etc). ...
I've got an ARIMA(1,1,4) model using external regressor with acceptable output but I'm not able to reproduce it outside the R. this is the result for the model: Coefficients: ar1 ma1 ma2 ma3 ma4 XRegressor[1:39, ]_coeff 0.9500 -1.0202 0.3977 -0.8283 0.6030 0.0084 s....
I am trying to determine the effect of four interventions/exposures upon the acquisition of an infection (the interventions aimed at preventing the infection). I'm using registry data. My analysis time is limited to 4 years as my primary outcome is at 4 years (infection/or not). It is a relatively new registry and s...
I just found out that my dataset is a lot messier than I expected and I was wondering if anyone here had some advice. I have sales data that is divided into regions (5 big breaks on a national level and then 4-6 breaks within each big national level break, the second break is what I am calling a region. The breakdown a...
I have the following linear model: To address the residuals heteroscedasticity I have tried to apply a log transformation on the dependent variable as $\log(Y + 1)$ but I still see the same fan out effect on the residuals. The DV values are relatively small so the +1 constant addition before taking the log is probabl...
I have a large collection of time series - measurements taken every 15 minutes (96 measurements in a day) over the span of 1 year at various different locations. I've broken up each time series into 365 separate smaller time series, 1 for each day of the year. Looking at these time series, there are certainly many dis...
I use a neural network with a topology of 17-30-1 (sigmoid, atan error function, mse as cost function, 5-fold cv) for text classification. (It's closely related to a previous question of mine.) The input data is quite noisy thus I could live with not a "perfect" classification score, but the results I get are probably ...
Assume that we have one or several multinomial samples (e.g., surveys) taken from our population. While inferring characteristics (such as mean values, correlation, ...) from a multinomial sample is a common statistical task, generating a likely full population doesn't seem to be that common. It is used in the field of...
I would like to use R “optimize” function to estimate the model: $\hat{Y_{t}}=a\cdot \hat{Y}_{t-1}+b\cdot X_{t}+c\cdot X_{t-1}$ Important thing is that the predition $\hat{Y_{t}}$ (let’s say prediction of Y on Tuesday) is calculated on the basis of former prediction $\hat{Y}_{t-1}$ (not real value of $Y_{t-1}$) in time...
I am having a few problems understanding how logistic regression can be used with a dependent variable that is not binary or dichotomous but instead between proportions of 0 and 1. If any of you can enlighten me that would be wonderful. So far the most I can figure out is that if I were to use a linear regression than ...
Notes for my intro to probability class give a theorem which states the following: P(A) = P(A ^ B) + P(A ^ ~B) What would the proof for this look like given the basic probability axioms? Here's a list of axioms I start off with: 0 <= P(A) <= 1 P(True) = 1 P(False) = 0 P(A v B) = P(A) + P(B) - P(A ^ B) P(A) = 1 - P(~A)...
Do you just report that MANOVA significance test is significant, or do you have to include contrast estimates (SPSS K MATRIX)? In the latter case, what are recommended formatting guidelines?
I am getting astronomically high p-values for all the coefficients in a logistic regression model. I am not sure why they are so high: 0.7096 0.4441 0.9783 0.7826 0.6890 0.7538 0.8017 0.9332 0.9564 I honestly cannot find out why they are so high. My dependent variable consists of ratios between 0 and 1, and m...
I have a list of items that represent cells, now i query each cell value to get a set of possible categories that this cell might belong to, these categories are weighted. For Example: Microsoft is: {Software=83.543266, Video Game Platform=132.297455, Degree=71.624733, Organization=208.17038, Programming Language=66.99...
I am writing an implementation of the EM algorithm to estimate parameters in a GLMM in R. My model is $$y_{ij}|\alpha_i \sim Bin(1,p_{ij})\textrm{, where }logit(p_{ij}) = \mu + \alpha_i \textrm{ and } \alpha_i \,\,iid \sim N(0,\sigma^2).$$ In other words, my data has a binary response that can be modeled with a fixed ...
I have to do a binary logistic regression. I have a set of 7 independent variables. 4 of them are binary variables and the other 3 are categorical variables. The categorical variables are divided into 4 levels. For example, mode of payment: cash, internet banking, debit card, credit card. I am confused whether I shoul...
If I have two normally distributed random variables, X and Y, and I want to find the mean of the distribution that results from multiplying them together, which of the following two formulas should I use, and why? (and when would I use the other?): E[XY] = (computational formula for the variance) = Cov(X,Y) + E[X]E[...
Some statistical methods - I do not remember if it is principal component analysis or something like that - are sometimes called "French data analysis". What is it exactly ? And some people say that this name is ironic, is it true, and why ?
I have imported an Excel document in SPSS which contains around 500 entries. Three columns are defined, using Likert scales. I have substituted textual labels of these scales with numerical values from 0 to 4 (so, the three numeric variables are ordinal). Two more columns are just text, e.g., location (home, commuting...
I have a set of answers to a number of 7 point Likert scaled questions that ranged from very bad to very good. I have about 200 answers for each question. Q1(type1): Very bad, ..., ..., ..., ..., Very good Q2(type2): ... Q3(type1): Q4(type1): Q5(type2): Q6(type1): ... What I'd like to do now is check which type1 ques...
I have an area which is divided into polygons of different sizes. Each polygon has the same associated features/predictors and I know whether something occurs within the polygon or not. If something occurs in the polygon I have a number between 1 ... n which indicates the ‘amount of evidence’. I am trying to use logist...
I am trying to calculate the p-values of observations by comparing them to the normal distribution in R using pnorm(). I have constructed a random distribution as my background model on which I would like to test the significance of various tests. I know for example, my background normal distribution has a mean of 1 ...
I'm trying to analyze data from a questionnaire, showing graphical results. I used dispersion charts for correlating bivariate data with continuous and discrete ranges, showing also a trend line on the distribution. What about correlating binary data samples and discrete samples? E.g., I have the following 2 series: X...
Is there one? I think there's a penalizedSVM package in R but it looks to use a linear kernel. Can't quite tell from the documentation. If it's linear, is there a R package that lets me calculate the kernel matrix so I can transform my data? I was thinking I could combine the two together to run a RBF SVM with SCAD pe...
I know table can count contingency table, what if I want to summarize all elements that fall in a cell of the table using some type of function, such as mean? For example facA = rep(1:3, 4) facB = rep(c(rep(1, 3), rep(2, 3)), 2) value = rnorm(12) How do I summarize the mean of 'value's corresponding to facA:facB and...
I want to be able to compare the angles of neighbours in a herd of hippos. I have data for the x and y coordinates and the angles that they are facing (using imageJ, angles are between -180 and 180 with 0 being a horizontal straight line across the middle of the image). I have plotted the $g(r)$ function to see whether...
Say I have $N$ items that are partitioned / clustered and I want to randomly repartition these items, such that the distribution of sizes of the clusters is 'similar' to those that I already have. I'm viewing this (perhaps unhelpfully), as trying to sample $k$ natural numbers, such that $x_i \geq 1$ and $\sum_{i=1}^{k}...
This question is in the context of time-delay estimation. Say I have a stationary Gaussian stochastic process $g$, and I know its autocorrelation function $R_g(\tau)$. To do time-delay estimation, I'm computing a windowed cross correlation between $g$ and a delayed version of it. In other words, $$ g_1 = g(x-D) \\ \p...