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For correlated random variables the sample variance needs to be computed according to the Markov chain central limit theorem.. Independent and identically distributed random variables with random sample size
Propagation of uncertainty. In statistics, propagation of uncertainty (or propagation of error) is the effect of variables ' uncertainties (or errors, more specifically random errors) on the uncertainty of a function based on them. When the variables are the values of experimental measurements they have uncertainties due to measurement ...
Definition and basic properties. The MSE either assesses the quality of a predictor (i.e., a function mapping arbitrary inputs to a sample of values of some random variable), or of an estimator (i.e., a mathematical function mapping a sample of data to an estimate of a parameter of the population from which the data is sampled).
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where ¯ represents the errors, represents the sample standard deviation for a sample of size n, and unknown σ, and the denominator term / accounts for the standard deviation of the errors according to:
In statistics, the residual sum of squares ( RSS ), also known as the sum of squared residuals ( SSR) or the sum of squared estimate of errors ( SSE ), is the sum of the squares of residuals (deviations predicted from actual empirical values of data). It is a measure of the discrepancy between the data and an estimation model, such as a linear ...
The topic of heteroskedasticity-consistent ( HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors (or simply robust standard errors ), Eicker–Huber–White standard errors (also Huber–White standard errors or ...
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