On Thu, Sep 9, 2010 at 11:32 PM, Keith Goodman <[email protected]> wrote: > On Thu, Sep 9, 2010 at 8:07 PM, Keith Goodman <[email protected]> wrote: >> On Thu, Sep 9, 2010 at 7:22 PM, cpblpublic <[email protected]> >> wrote: >>> I am looking for some reaally basic statistical tools. I have some >>> sample data, some sample weights for those measurements, and I want to >>> calculate a mean and a standard error of the mean. >> >> How about using a bootstrap? >> >> Array and weights: >> >>>> a = np.arange(100) >>>> w = np.random.rand(100) >>>> w = w / w.sum() >> >> Initialize: >> >>>> n = 1000 >>>> ma = np.zeros(n) >> >> Save mean of each bootstrap sample: >> >>>> for i in range(n): >> ....: idx = np.random.randint(0, 100, 100) >> ....: ma[i] = np.dot(a[idx], w[idx]) >> ....: >> ....: >> >> Error in mean: >> >>>> ma.std() >> 3.854023384833674 >> >> Sanity check: >> >>>> np.dot(w, a) >> 49.231127299096954 >>>> ma.mean() >> 49.111478821225127 >> >> Hmm...should w[idx] be renormalized to sum to one in each bootstrap sample? > > Or perhaps there is no uncertainty about the weights, in which case: > >>> for i in range(n): > ....: idx = np.random.randint(0, 100, 100) > ....: ma[i] = np.dot(a[idx], w) > ....: > ....: >>> ma.std() > 3.2548815339711115
or maybe `w` reflects an underlying sampling scheme and you should sample in the bootstrap according to w ? if weighted average is a sum of linear functions of (normal) distributed random variables, it still depends on whether the individual observations have the same or different variances, e.g. http://en.wikipedia.org/wiki/Weighted_mean#Statistical_properties What I can't figure out is whether if you assume simga_i = sigma for all observation i, do we use the weighted or the unweighted variance to get an estimate of sigma. And I'm not able to replicate with simple calculations what statsmodels.WLS gives me. ??? Josef > _______________________________________________ > NumPy-Discussion mailing list > [email protected] > http://mail.scipy.org/mailman/listinfo/numpy-discussion > _______________________________________________ NumPy-Discussion mailing list [email protected] http://mail.scipy.org/mailman/listinfo/numpy-discussion
