Questions tagged [statistics]

The study of collection, organization, analysis, and interpretation of data.

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25
votes
4answers
8k views

How to add large exponential terms reliably without overflow errors?

A very common problem in Markov Chain Monte Carlo involves computing probabilities that are sum of large exponential terms, $ e^{a_1} + e^{a_2} + ... $ where the components of $a$ can range from ...
29
votes
2answers
26k views

Define custom probability density function in Python

Is there a way, using some established Python package (e.g. SciPy) to define my own probability density function (without any prior data, just $f(x) = a x + b$), so I can then make calculations with ...
8
votes
2answers
827 views

Sum over very small exponentials: Underflow

I am trying to compute (in C) a sum like $S = \sum_i \exp( - a_i )$, where $10^{4} < a_i < 10^{5}$ are approximately normal distributed. So even if I do the Log-Sum-Exp trick $S = \exp(\...
3
votes
2answers
204 views

How to optimize sampling for parameter estimation

I have a computer model with a number of parameters that need to be calibrated based on experimental results. It's also important to understand the sensitivity of the results to each parameter ...