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Topic: aprroximation to function of a statistitics
Replies: 3   Last Post: Aug 14, 2012 12:40 PM

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 Herman Rubin Posts: 399 Registered: 2/4/10
Re: aprroximation to function of a statistitics
Posted: Aug 14, 2012 11:18 AM

On 2012-08-14, oercim <oercim@yahoo.com> wrote:

> Hello I need help, I want to calculate variance of functional. Let
v1=var(x) > My aim is to calculate a function of x depending parameter "a":

> var(f(x,a)) where "a" is the parameter.

> To approximate this variance I used delta method. However in simulation
results for some values of "a" the approximation didn't work well possibly
heavy nonlinearity of g.

> I dont want to use resampling mathods(like bootstrap or jacknife). Is
there another ways to approximate the variance. Is higher order
approximation possible? I searched google but I could not find a

You might be able to expand the expression, but you will need more
than the variance to carry out the calculations.

One way to see if non-linearity is a problem is to check the
means in the simulation. This checks for quadratic terms,
but the means behaving is not a guarantee. Another possible
source of the observed problem is the pseudo-random numbers
being used; pseudo-random numbers are NOT random, and there
are ways around that problem by incorporating physical
random numbers.

--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Department of Statistics, Purdue University
hrubin@stat.purdue.edu Phone: (765)494-6054 FAX: (765)494-0558

Date Subject Author
8/14/12 oercim@yahoo.com
8/14/12 Herman Rubin
8/14/12 David Jones
8/14/12 oercim@yahoo.com