Most data science projects are well served by a random test/train split. In our book Practical Data Science with R we strongly advise preparing data and including enough variables so that data is exchangeable, and scoring classifiers using a random test/train split.
With enough data and a big enough arsenal of methods, it’s relatively easy to find a classifier that looks good; the trick is finding one that is good. What many data science practitioners (and consumers) don’t seem to remember is that when evaluating a model, a random test/train split may not always be enough.
The true purpose of a test procedure is to estimate how well a classifier will work in future production situations. We don’t evaluate the classifier on training data because training error has a significant undesirable upward scoring bias: that is, it is easy to find classifiers that do well on training and then do not work at all on future data. The error on test data — data the the classifier has never seen — is meant to be a better estimate of the model’s future performance. The underlying assumption of using a random test/train split is that future data is exchangeable with past data: that is, the informative variables will be distributed the same way, so that the training data is a good estimate of the test data — and the test data is a good estimate of future data.
However in many fields your data is not exchangeable due to time based issues such as auto-correlation, or because of omitted variables. In these situations, a random test/train split will cause the test data to look too much like the training data, and not enough like future data. This will tend to make a classifier look better than it really is, so you can’t be sure that your testing procedure has eliminated bad classifiers. In fact, you might accidentally eliminate what would be a good classifier in favor of a worse one that outperforms it in this artificial situation. Random test/train split is clearly unbiased, but bad classifiers benefit more from insensitivity of tests than good ones. To prevent this, you must apply some of your domain knowledge to build a testing procedure that will safely simulate the possible future performance of your classifier.
This may seem like contrary information as many people mis-remember “random test/train split” as being the only possible practice and the only legitimate procedure for things like a clinical trial. This is in fact not true. For example, there are fields where a random test/train split would never be considered appropriate.
One such field is finance. A trading strategy is always tested only on data that is entirely from the future of any data used in training. Nobody ever builds a trading strategy using a random subset of the days from 2014 and then claims it is a good strategy if it makes money on a random set of test days from 2014. You would be laughed out of the market. You could build a strategy using data from the first six months of 2014 and test if it works well on the last six months of 2014, as a pilot study before attempting the strategy in 2015 (though, due to seasonality effects, a full year of training would be much more desirable). This is the basis of what is known in many fields as backtesting, or hindcasting. Finance would happily use random test-train split — it is much easier to implement and less sensitive to seasonal effects — if it worked for them. But it does not work, due to unignorable details of their application domain, so they have to use domain knowledge to build more representative splits.
Another example is news topic classification. Classifying articles into categories (sports, medicine, finance, and so on) is a common task. The problem is that many articles are duplicated through multiple feeds. So a simple random test/train split (without article clustering and de-duplication) will likely put a burst of near duplicate articles into both the test and train sets, even if all of these articles come out together in a short time frame. Consider a very simple lookup procedure: classify each article as being in the topic of the closest training article. With a simple random test/train split, the test set will almost always contain a near duplicate of each article in the training set, so this nearest-neighbor classifier will work very well in evaluation. But it will not work as well in actual application, because you will not have such close duplicates in your historic training data to rely on. The random test/train split did not respect how time works in the actual application — that it moves forward and there are bursts of very correlated articles — and the bad testing procedure could lead you to pick a very ineffective procedure over other procedures that may work just fine.
Any classification problem where there are alignments to external data, grouping of data, concept changes, time, key omitted variables, auto-correlation, burstiness of data, or any other problem that breaks the exchangeability hypothesis needs a bit of care during model evaluation. Random test/train split may work, but there also may be obvious reasons why it will not work, and you may need to take the time to design application-sensitive testing procedures. A randomized test/train split of retrospective data is not the same as a full prospective randomized controlled trial. And you must remember that the true purpose of hold-out testing is to estimate the quality of future performance, so you must take responsibility for designing testing procedures that are good estimates of future application, rather than simply claim random test/train split is always sufficient by an appeal to authority.
Data scientist with Win Vector LLC. I also dance, read ghost stories and folklore, and sometimes blog about it all.