Questions tagged [multivariate-distribution]

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Sampling trying to keep as much multivariate variance as possible

I was thinking if anyone considered a sampling technique that would try to aim keeping as much of the variance as possible (e.g. as many unique values, or very widely distributed continuous variables)....
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1answer
216 views

Getting mean and covariance matrix for multivariate normal from keras model

I have a dataset that has 6 input features and 5 output features. I want to use a keras sequential model to estimate the mean vector and covariance matrix from any row of input features assuming the ...
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1answer
38 views

Should I concat multiple stock timeseries datasets into one?

I have several timeseries datasets of stock data, with fundamental indicators. I would like to build a model that selects stocks for buy and hold. I understand that to perform this task I have two ...
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2answers
89 views

Confidence intervals in multivariate linear regression

I am fitting my data to a multivariate linear regression $Y = BX + \Xi$, where the response is bivariate $Y\in R^{n\times 2}$, and the predictor is uni-variate but elevated to the projective plane to ...
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0answers
16 views

Tensorflow Probability Implementation of Automatic Differentiation Variational Inference with Mixtures

In this paper, the authors suggest using the following loss instead of the traditional ELBO in order to train what basically is a Variational Autoencoder with a Gaussian Mixture Model instead of a ...
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1answer
43 views

Getting a balanced sample across many variables

Let’s say each element in my population has several attributes. Let’s call then A, B, C, D, E, F. Let’s say, for simplicity, each attribute has 10 values (but could be any number between 2 and 30). ...
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1answer
34 views

How to build multiple variable regression having a mix of numerical & categorical features?

There is a need to estimate Annual Average Daily Traffic Volume (AADT). We have bunch of data about vehicles' speeds during several years. It is noticed that AADT depends on the average number of such ...
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1answer
37 views

Can the dependency between variables be deduced from data? And if so, how?

I have a data set $X$ that consists of $m$ vectors $\vec{x}$ of $n$ real-valued components. Each vector component lies within a corresponding predefined interval of valid values, which is the same for ...
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0answers
14 views

How to find mixing ratios in a mixture model with known parameters?

This question does not ask for a formal solution or rephrasing, but for a practical implementation. That is why I am asking here and not on [cross-validate](https://clustering stats.stackexchange.com) ...
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1answer
42 views

Meaning of the covariance matrix?

I wonder about the excessive usage of the covariance matrix across all kinds of machine learning tools. So far, for me, the covariance is just a pre-step to get to the correlation. And as there is an ...
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0answers
23 views

MLE for Poisson conditioned on multivariate Gaussian?

I am writing some Python code to fit 2D Gaussians to fluorescent emitters on a dark background to determine the subpixel-resolution (x, y) position of the fluorescent emitter. The crude, pixel-...
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0answers
17 views

Fitting input data into Gaussian distribution

I'm currently reading papers on Variational Autoencoders (VAE). According to this article (http://proceedings.mlr.press/v95/guo18a/guo18a.pdf): By fitting the input data sample x(i) into the Gaussian ...
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multivariate biLSTM text classification

I have made a model that takes vacancy data and classifies it with (bi)LSTM. The variables of the initial dataset are: positiontitle ...
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12 views

Predicting a Conditional Distribution

Given a stream of data containing a vector of independant variables $X$ and a dependant variable $Y$, I would like to capture the probability distribution of $Y|X$, such that a synthetic data stream ...
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0answers
11 views

Hidden Markov Model with Autoregressive emission model?

So far, all standard HMM implementations I've seen assume some variation of a Gaussian Mixture (GMM) as their emission model. It can of course only have a single mixture component which reduces it to ...
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1answer
26 views

How to draw a sample from data set with respect to a given categorical or numerical variable based on given freely chosen distribution? (Python)

Say I have a data set for some past period. Now new data appears and for a given variable in the data and we find that the distributions have shifted (for example with "age" it would be that suddenly ...
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Sequential sampling from Gaussian conditional not working

I'm trying to sequentially sample from a Gaussian Process prior. The problem is that the samples eventually converge to zero or diverge to infinity. I'm using the basic conditionals described e.g. ...
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1answer
49 views

Linear transformation from one sample to another

Generate a Sample $\underline{Z_1}$ $\underline{Z_2}\dots \underline{Z_{5000}}$ , while $\underline{Z_i} \sim N_2[(0,0)^T,I_2]$ generate new sample with size of $ n = 5000$ by applying linear ...
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1answer
24 views

Does standardization result in normal distribution?

I have a question about standardization (subtract mean, divide by standard deviation) of data consisting of different features with different ranges. I read some information that seemed to be ...
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0answers
111 views

Getting vague results using VAR time series forecasting in python!

Firstly, I am a beginner in this field of Data Science and have tried to implement some time series models for wind speed forecasting. Also, I am aware of the fact that some regression models might ...
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2answers
255 views

How to interpret Correlation along with Coefficients of multiple linear regression ?£

I have 10000 samples. There are 4 independent variables and 1 dependent variable. The independent variables are all centered with 0 mean. I found the correlation coefficients between each of these ...
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2answers
43 views

Consolidating multivariate time-series information from many data sets

I am having trouble setting up a problem with regards to time series analysis. I have 30 data sets, where each set corresponds to a certain project. Each project has 7 features, and each feature has ...
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1answer
426 views

Can GLM( generalized linear method) handle the collinearity between the predictor variables in a regression-analysis?

I'm a beginner in Machine learning and I've studied that collinearity among the predictor variables of a model is a huge problem since it can lead to unpredictable model behaviour and a large error. ...
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1answer
33 views

Does Anomaly Detection Algorithm works when the features are not correlated?

I am working on an Anomaly Detection Problem and the algorithm I used is an Autoencoder Multivariate Gaussian. The problem with my data is that it is unlabeled and not correlated. For example, let's ...
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2answers
46 views

How can I fix regression model interpretation of feature?

I'm building a regression model to predict the values of a feature $Y$ given a set of other features $X_{1}, X_{2}, X_{3}..X_{n}$. Onde of these other features, let's say $X_1$, is known to be ...
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0answers
23 views

LSTM features classification output

I am very new at this, so I might be wrong about my choice of model, but my problem is the following. I am trying to generate music, hence the reason I am using an LSTM. I have the following sequence ...
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1answer
460 views

How to resample one dataset to conform to the distribution of another dataset?

I have two datasets with 20 features, but with different feature distributions (DS_A and DS_B). How can I sample the DS_A to make its distribution similar to DS_B, with respect to multiple features?? ...
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26 views

Are there any methods to detect whole multivariate time-series as anomalous from a set of multivariate time-series?

Consider a scenario with Dataset D as {T1, T2, ..., Tn} and Ti is a multivariate time-series of length mi as {X1, X2, ..., Xmi}. Here each record of the time-series Xi is a vector of attribute values {...
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0answers
66 views

How to do Multivariate Adaptive Regression Splines feature selection in python? Specifically, I need the python equivalent of the earth function in R

This is the code in R: marsModel <- earth(eval(parse(text=paste(ResponseVariable,"~."))), data = data) #build model ev <- evimp (marsModel) Response ...
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0answers
48 views