Description:
Statistics from a strictly mathematical viewpoint.
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check for Gaussianity in high dimensional data sets
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Hi, I have a sample data matrix X with d features (rows) and n samples (columns). I want to check if X comes from a Gaussian Distribution with unknown mean and covariance. The dimension of the features is several order or magnitude larger than the columns (sample covariance is rank deficient). Does anybody knows some tests to check for Gaussianity in high... more »
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Testing the difference between betas within a regression model
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In an older posting in sci.stat.math Message-ID: <1193606771.432254.22...@i13g2 000prf.googlegroups.com> I found the following question and answer (answer by Ray Koopman): ...I suppose sum and difference are calculated from z-transformed variables. When I perfomed the proposed analysis with some real life... more »
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Entropy of a function of a random variable
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Hello everyone, Simple entropy question... Given a random variable X with entropy H (X), and given a function f(.). Is there a relationship between H(X) and H(f(X))? I found an answer in Thomas Cover's book: H(X)>=H(f(X)). But I don't know why, because I can think of counter examples. For example, say X has normal distribution. Thus H(X)=0.5*log... more »
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