8:24 a.m.
Hi,
I noticed that corr() and mcorr() produce the same results, but sd() and
sdc() seem to use different divisors. This "diff-in-diff" seems to me a
bit arbitrary, or is there some background story? Otherwise I'd say the
functions should all use the same convention. (which one I don't care)
thanks,
sven
example:
<hansl>
open denmark
ols LRM const LRY IDE
list lall = LRM LRY IDE
matrix mcr = mcorr({lall})
print mcr
matrix msd = sdc({lall})
print msd
loop foreach i lall
c = corr(LRM, lall.$i)
print c
s = sd(lall.$i)
print s
endloop
</hansl>
1:21 p.m.
On Wed, 1 Jul 2015, Sven Schreiber wrote:
I noticed that corr() and mcorr() produce the same results, but sd()
and sdc() seem to use different divisors.
True: both corr() and mcorr() use sample standard deviations in
computing the correlation coefficient, but sd() and sdc() differ in
that sd computes the sample standard deviation while sdc computes the
MLE by default (with the option of supplying a df value).
This "diff-in-diff" seems to me a bit arbitrary, or is
there some
background story? Otherwise I'd say the functions should all use the
same convention. (which one I don't care)
Well, there's some sort of background here. (1) AFAIK, correlation
coefficients are almost always computed using the sample sd. (2) The
sd() function is intended for series and I'd guess that in that
context most people want the sample sd most of the time. (3) In the
matrix context of sdc() users are somewhat more likely to be doing
something asymptotic.
This may not provide a very compelling rationale for what we do now,
but the difference between sd() and sdc() is documented in the help
for those functions.
Allin
2:19 p.m.
Am 01.07.2015 um 19:21 schrieb Allin Cottrell:
On Wed, 1 Jul 2015, Sven Schreiber wrote:
This may not provide a very compelling rationale for what we do now, but
the difference between sd() and sdc() is documented in the help for
those functions.
Well only if you equate the term "sample sd" in the doc for sd() with
the meaning of T-1. When I read the docs (and I did!) it didn't mean
anything special to me, or rather I was thinking it would relate to the
currently active sample (as opposed to the whole workfile range). So a
bit opaque IMHO.
thanks,
sven
2:46 p.m.
On Wed, 1 Jul 2015, Sven Schreiber wrote:
Am 01.07.2015 um 19:21 schrieb Allin Cottrell:
> On Wed, 1 Jul 2015, Sven Schreiber wrote:
>
>
> This may not provide a very compelling rationale for what we do now, but
> the difference between sd() and sdc() is documented in the help for
> those functions.
>
Well only if you equate the term "sample sd" in the doc for sd() with the
meaning of T-1. When I read the docs (and I did!) it didn't mean anything
special to me, or rather I was thinking it would relate to the currently
active sample (as opposed to the whole workfile range). So a bit opaque IMHO.
I guess there's a national difference here: in English statistical
parlance, "sample standard deviation" is a term of art which
definitely implies use of T-1 in the denominator. But the wording
could be made more explicit.
Allin
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