Questions tagged [weighted-variance]
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8 questions
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Monte Carlo simulation with Importance Sampling - variance of estimator vs weighted variance
I am using Monte Carlo simulations associated with Importance Sampling and I have some difficulties interpretating the variance estimator:
Using a dummy example extracted from here, I use Monte Carlo ...
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Prediction Interval formula for WLS regression
I have been unable to find a non-matrix notation formula to calculate prediction interval for a weighted least squares regression. For OLS, I have
$$y = \hat y \pm t\times \sqrt{\left(\textrm{MSE}\...
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What is the (Ratio estimator for the) covariance of two weighted means? [closed]
In a previous question I've asked How to estimate the (approximate) variance of the weighted mean?, specifically, how to prove the following formula:
$$
\widehat{\sigma_{\bar{y}_w}^2} = \frac{1}{(\sum{...
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Calculating weights for a weighted least squares regression on a differenced time series
I am looking for guidance on whether I am approaching my problem correctly.
I have an annual time series { $x_{1}$, $x_{2}$, ..., $x_{t-1}$, $x_{t}$ }, where each observation is the estimated median ...
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Approximate distribution of test statistic for weighted sample mean
Let
$$ R_{i}(t) \sim \mathcal{N}(\mu_i, \sigma_i^2), $$
denote the one period return distribution for asset $i$, from which we observe the iid samples $\{R_i(t)\}_{t=1}^{n_i}$. The MLE sample mean and ...
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In Ordinary Least Square (OLS) estimation: is the slope actually an "Inverse-variance weighting" estimator?
I am suspecting the answer is yes, but I'd appreciate help in proving it (even though we know that the estimator is BLUE, so it should probably hold).
For context:
An Inverse-variance weighting is ...
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Variance in variance-weighted variance estimate?
Apologies for the confusing title, but I couldn't resist.
Much can and has been said about computing the unbiased variance using a sample of points, weighting by the variances of each point (for ...
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How to estimate the (approximate) variance of the weighted mean?
Background: weighted mean
In the context of survey statistics it so happens that a sample of respondents from a survey are fit some weights to adjust their answers to the general population. These ...
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