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Some notes on Kalman Filtering
State Space form Measurement Equation Transition Equation Future form
Posted in Statistics, Time Series
Tagged Kalman, State Space, Statistics, Time Series
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Big Data for Volatility vs.Trend
So different aspects of Big Data — in this case dense vs. tall — are of different value for different things. Dense data promote accurate volatility estimation, and tall data promote accurate trend estimation. More (No Hesitations blog)
The limitations of randomised controlled trials
In recent years, the use of randomised controlled trials has spread from labour market and welfare programme evaluation to other areas of economics (and to other social sciences), perhaps most prominently in development and health economics. This column argues that … Continue reading
Posted in Statistics, Uncategorized
Tagged Randomised Controlled Trialls, RCT, Statistics
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Rio’s Inequality
Let and be two integrable realvalued random variables and let be the quantile function of . Then if is integrable over we have where is the amixing coefficient. Proof: Set and then since and note also that which implies that
Kolmogorov’s Maximal Inequality
Let be independent random variables with . Set . Then Proof: Let Notice that and
An inequality of the expectation
Let be i.i.d. r.vs with and . Then Proof: So
LAN for Linear Processes
Consider a mvector linear process where are i.i.d. mvector random variables with p.d.f. on , are matrices depending on a parameter vector . Set Assume the following conditions are satisfied A1 i) For some where denotes the sum of the … Continue reading