## #StackBounty: #time-series #self-study #references #markov-process #transition-matrix How to interpret clusters on Markov chain time ch…

### Bounty: 50

I have a discrete-time Markov chain. The Markov chain is aperiodic (because self-loops exist) and is irreducible.

I have found the mean recurrence time (left graph) and then sorted mean recurrence time (right graph).

As on the left graph as on the right graph, one can see three ‘clusters’ (groups). I think that is not a typical case. Maybe the transition matrix has a specific form?

My question is:
How to interpret obtained clusters for Markov chain time characteristics?

Edit.

I have plotted the original graph with tree ‘clusters’.

  cluster vertexN edgeN     density diameter
1      35   105  0.088235294  1.30119
2      23    12  0.023715415  1.00000
3      46    10  0.004830918  2.00000


Density of original graph is 0.0229649.

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## #StackBounty: #time-series #self-study #clustering #references #markov-process How to interpret clusters on Markov chain time character…

### Bounty: 50

I have a discrete time Markov chain and I have found the mean recurrence time (left graph) and then sorted mean recurrence time (right graph).

As on the left graph as on the right graph one can see three ‘clusters’ (groups). Is this a typical case?

My question is:
How to interpret obtained clusters for Markov chain time characteristics?

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## #StackBounty: #machine-learning #self-study #neural-networks #autoencoders How to train beta variational auto-encoders to get optimal b…

### Bounty: 50

I am training vae with beta value greater than 1, I noticed that when my beta value is larger than 10, the Kl divergence loss is always zero from that point. Q1: Does this mean I should constrain my beta less than 10?

I have seen lots of examples of vae on image data like handwritten digits and face, and those models tend to evaluate the performance on the generated image(whether or not the image makes sense or not). Q2: But how do I choose the optimal beta value when the underlying structure of my data is not known (which means looking at the latent space may not be diagnostic).

Q3 : Should I focus on the loss function to determine the beta? But increasing beta value leads to a higher loss in my case. Any ideas and suggestions are greatly appreciated! Thank you!

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## #StackBounty: #hypothesis-testing #self-study Test for Lipschitz continuity (is there some?)

### Bounty: 50

Let $$x_1, dots, x_n$$ be a random sample from a distribution $$D$$. Say, I want to test whether $$F(z)$$, the cdf of $$D$$, is Lipschitz continuous, i.e. there exists $$L$$ such that $$F(z + delta) – F(z) leq Ldelta$$ for $$z in mathbb{R}$$ and $$delta geq 0$$.

The above formulation is quite general and seems to be unsuitable for testing.

Hopefully, it might be possible to test for other properties implying Lipschitz continuity or non-Lipschitz-continuity. A trivial example: if $$exists~i neq j$$ such that $$x_i = x_j$$, then $$F$$ must be discontinuous.

I have searched for different literature resources (e.g. Anirban DasGupta:
Asymptotic Theory of Statistics and Probability) with no success.

I realize the question is very general (I wish I knew how to make it more specific). Any literature or test suggestions would be highly appreciated.

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### Bounty: 50

Suppose $$Xsim N_3(0,Sigma)$$, where $$Sigma=begin{pmatrix}1&rho&rho^2\rho&1&rho\rho^2&rho&1end{pmatrix}$$.

On the basis of one observation $$x=(x_1,x_2,x_3)’$$, I have to obtain a confidence interval for $$rho$$ with confidence coefficient $$1-alpha$$.

We know that $$X’Sigma^{-1}Xsim chi^2_3$$.

So expanding the quadratic form, I get

$$x’Sigma^{-1}x=frac{1}{1-rho^2}left[x_1^2+(1+rho^2)x_2^2+x_3^2-2rho(x_1x_2+x_2x_3)right]$$

To use this as a pivot for a two-sided C.I with confidence level $$1-alpha$$, I setup $$chi^2_{1-alpha/2,3}le x’Sigma^{-1}xle chi^2_{alpha/2,3}$$

I get two inequalities of the form $$g_1(rho)le 0$$ and $$g_2(rho)ge 0$$, where

$$g_1(rho)=(x_2^2+chi^2_{alpha/2,3})rho^2-2(x_1x_2+x_2x_3)rho+x_1^2+x_2^2+x_3^2-chi^2_{alpha/2,3}$$

and $$g_2(rho)=(x_2^2+chi^2_{1-alpha/2,3})rho^2-2(x_1x_2+x_2x_3)rho+x_1^2+x_2^2+x_3^2-chi^2_{1-alpha/2,3}$$

Am I right in considering a both-sided C.I.? After solving the quadratics in $$rho$$, I am guessing that the resulting C.I would be quite complicated.

Another suitable pivot is $$frac{mathbf1′ x}{sqrt{mathbf1’Sigma mathbf 1}}sim N(0,1)quad,,,mathbf1=(1,1,1)’$$

With $$bar x=frac{1}{3}sum x_i$$, this is same as saying $$frac{3bar x}{sqrt{3+4rho+2rho^2}}sim N(0,1)$$

Using this, I start with the inequality $$left|frac{3bar x}{sqrt{3+4rho+2rho^2}}right|le z_{alpha/2}$$

Therefore, $$frac{9bar x^2}{3+4rho+2rho^2}le z^2_{alpha/2}implies 2(rho+1)^2+1ge frac{9bar x^2}{z^2_{alpha/2}}$$

That is, $$rhoge sqrt{frac{9bar x^2}{2z^2_{alpha/2}}-frac{1}{2}}-1$$

Since the question asks for any confidence interval, there are a number of options available here. I could have also squared the standard normal pivot to get a similar answer in terms of $$chi^2_1$$ fractiles. I am quite sure that both methods I used are valid but I am not certain whether the resulting C.I. is a valid one. I am also interested in other ways to find a confidence interval here.

Get this bounty!!!

### Bounty: 50

Suppose $$Xsim N_3(0,Sigma)$$, where $$Sigma=begin{pmatrix}1&rho&rho^2\rho&1&rho\rho^2&rho&1end{pmatrix}$$.

On the basis of one observation $$x=(x_1,x_2,x_3)’$$, I have to obtain a confidence interval for $$rho$$ with confidence coefficient $$1-alpha$$.

We know that $$X’Sigma^{-1}Xsim chi^2_3$$.

So expanding the quadratic form, I get

$$x’Sigma^{-1}x=frac{1}{1-rho^2}left[x_1^2+(1+rho^2)x_2^2+x_3^2-2rho(x_1x_2+x_2x_3)right]$$

To use this as a pivot for a two-sided C.I with confidence level $$1-alpha$$, I setup $$chi^2_{1-alpha/2,3}le x’Sigma^{-1}xle chi^2_{alpha/2,3}$$

I get two inequalities of the form $$g_1(rho)le 0$$ and $$g_2(rho)ge 0$$, where

$$g_1(rho)=(x_2^2+chi^2_{alpha/2,3})rho^2-2(x_1x_2+x_2x_3)rho+x_1^2+x_2^2+x_3^2-chi^2_{alpha/2,3}$$

and $$g_2(rho)=(x_2^2+chi^2_{1-alpha/2,3})rho^2-2(x_1x_2+x_2x_3)rho+x_1^2+x_2^2+x_3^2-chi^2_{1-alpha/2,3}$$

Am I right in considering a both-sided C.I.? After solving the quadratics in $$rho$$, I am guessing that the resulting C.I would be quite complicated.

Another suitable pivot is $$frac{mathbf1′ x}{sqrt{mathbf1’Sigma mathbf 1}}sim N(0,1)quad,,,mathbf1=(1,1,1)’$$

With $$bar x=frac{1}{3}sum x_i$$, this is same as saying $$frac{3bar x}{sqrt{3+4rho+2rho^2}}sim N(0,1)$$

Using this, I start with the inequality $$left|frac{3bar x}{sqrt{3+4rho+2rho^2}}right|le z_{alpha/2}$$

Therefore, $$frac{9bar x^2}{3+4rho+2rho^2}le z^2_{alpha/2}implies 2(rho+1)^2+1ge frac{9bar x^2}{z^2_{alpha/2}}$$

That is, $$rhoge sqrt{frac{9bar x^2}{2z^2_{alpha/2}}-frac{1}{2}}-1$$

Since the question asks for any confidence interval, there are a number of options available here. I could have also squared the standard normal pivot to get a similar answer in terms of $$chi^2_1$$ fractiles. I am quite sure that both methods I used are valid but I am not certain whether the resulting C.I. is a valid one. I am also interested in other ways to find a confidence interval here.

Get this bounty!!!

### Bounty: 50

Suppose $$Xsim N_3(0,Sigma)$$, where $$Sigma=begin{pmatrix}1&rho&rho^2\rho&1&rho\rho^2&rho&1end{pmatrix}$$.

On the basis of one observation $$x=(x_1,x_2,x_3)’$$, I have to obtain a confidence interval for $$rho$$ with confidence coefficient $$1-alpha$$.

We know that $$X’Sigma^{-1}Xsim chi^2_3$$.

So expanding the quadratic form, I get

$$x’Sigma^{-1}x=frac{1}{1-rho^2}left[x_1^2+(1+rho^2)x_2^2+x_3^2-2rho(x_1x_2+x_2x_3)right]$$

To use this as a pivot for a two-sided C.I with confidence level $$1-alpha$$, I setup $$chi^2_{1-alpha/2,3}le x’Sigma^{-1}xle chi^2_{alpha/2,3}$$

I get two inequalities of the form $$g_1(rho)le 0$$ and $$g_2(rho)ge 0$$, where

$$g_1(rho)=(x_2^2+chi^2_{alpha/2,3})rho^2-2(x_1x_2+x_2x_3)rho+x_1^2+x_2^2+x_3^2-chi^2_{alpha/2,3}$$

and $$g_2(rho)=(x_2^2+chi^2_{1-alpha/2,3})rho^2-2(x_1x_2+x_2x_3)rho+x_1^2+x_2^2+x_3^2-chi^2_{1-alpha/2,3}$$

Am I right in considering a both-sided C.I.? After solving the quadratics in $$rho$$, I am guessing that the resulting C.I would be quite complicated.

Another suitable pivot is $$frac{mathbf1′ x}{sqrt{mathbf1’Sigma mathbf 1}}sim N(0,1)quad,,,mathbf1=(1,1,1)’$$

With $$bar x=frac{1}{3}sum x_i$$, this is same as saying $$frac{3bar x}{sqrt{3+4rho+2rho^2}}sim N(0,1)$$

Using this, I start with the inequality $$left|frac{3bar x}{sqrt{3+4rho+2rho^2}}right|le z_{alpha/2}$$

Therefore, $$frac{9bar x^2}{3+4rho+2rho^2}le z^2_{alpha/2}implies 2(rho+1)^2+1ge frac{9bar x^2}{z^2_{alpha/2}}$$

That is, $$rhoge sqrt{frac{9bar x^2}{2z^2_{alpha/2}}-frac{1}{2}}-1$$

Since the question asks for any confidence interval, there are a number of options available here. I could have also squared the standard normal pivot to get a similar answer in terms of $$chi^2_1$$ fractiles. I am quite sure that both methods I used are valid but I am not certain whether the resulting C.I. is a valid one. I am also interested in other ways to find a confidence interval here.

Get this bounty!!!