Fundamental statistics Theorem


The Fundamental Statistics Theorem Revisited

@machinelearnbot

It turned out that putting more weight on close neighbors, and increasingly lower weight on far away neighbors (with weights slowly decaying to zero based on the distance to the neighbor in question) was the solution to the problem. For those interested in the theory, the fact that cases 1, 2 and 3 yield convergence to the Gaussian distribution is a consequence of the Central Limit Theorem under the Liapounov condition. More specifically, and because the samples produced here come from uniformly bounded distributions (we use a random number generator to simulate uniform deviates), all that is needed for convergence to the Gaussian distribution is that the sum of the squares of the weights -- and thus Stdev(S) as n tends to infinity -- must be infinite. More generally, we can work with more complex auto-regressive processes with a covariance matrix as general as possible, then compute S as a weighted sum of the X(k)'s, and find a relationship between the weights and the covariance matrix, to eventually identify conditions on the covariance matrix that guarantee convergence to the Gaussian destribution.


The Fundamental Statistics Theorem Revisited

@machinelearnbot

It turned out that putting more weight on close neighbors, and increasingly lower weight on far away neighbors (with weights slowly decaying to zero based on the distance to the neighbor in question) was the solution to the problem. For those interested in the theory, the fact that cases 1, 2 and 3 yield convergence to the Gaussian distribution is a consequence of the Central Limit Theorem under the Liapounov condition. More specifically, and because the samples produced here come from uniformly bounded distributions (we use a random number generator to simulate uniform deviates), all that is needed for convergence to the Gaussian distribution is that the sum of the squares of the weights -- and thus Stdev(S) as n tends to infinity -- must be infinite. More generally, we can work with more complex auto-regressive processes with a covariance matrix as general as possible, then compute S as a weighted sum of the X(k)'s, and find a relationship between the weights and the covariance matrix, to eventually identify conditions on the covariance matrix that guarantee convergence to the Gaussian destribution.