What is Statistics?
I recently shared a bit of the history of The Science of Data Analysis. I thought I would follow that up with a quick chalk talk titled “What is Statistics?” (link)
“Statistics to English Translation”
The core of our “statistics to English translation” series is Nina Zumel’s sequence of articles: “I don’t think that means what you think it means;” Statistics to English Translation, Part 1: Accuracy Measures Statistics to English Translation, Part 2a: ’Significant’ Doesn’t Always Mean ’Important’ Statistics to English Translation, Part 2b: […]
On The Decomposition of Variance
I am conducting another machine learning / AI bootcamp this week. Starting one of these always makes me want to get more statistical commentaries down, just in case I need one. These classes have to move fast, and also move correctly. In this case I want to write about decomposition […]
Why Do We Plot Predictions on the x-axis?
When studying regression models, One of the first diagnostic plots most students learn is to plot residuals versus the model’s predictions (that is, with the predictions on the x-axis). Here’s a basic example. # build an “ideal” linear process. set.seed(34524) N = 100 x1 = runif(N) x2 = runif(N) noise […]
How to de-Bias Standard Deviation Estimates
This note is about attempting to remove the bias brought in by using sample standard deviation estimates to estimate an unknown true standard deviation of a population. We establish there is a bias, concentrate on why it is not important to remove it for reasonable sized samples, and (despite that) […]
Talking about clinical significance
In statistical work in the age of big data we often get hung up on differences that are statistically significant (reliable enough to show up again and again in repeated measurements), but clinically insignificant (visible in aggregation, but too small to make any real difference to individuals). An example would […]
Upcoming data preparation and modeling article series
I am pleased to announce that vtreat version 0.6.0 is now available to R users on CRAN. vtreat is an excellent way to prepare data for machine learning, statistical inference, and predictive analytic projects. If you are an R user we strongly suggest you incorporate vtreat into your projects.
Data Preparation, Long Form and tl;dr Form
Data preparation and cleaning are some of the most important steps of predictive analytic and data science tasks. They are laborious, where most of the errors are made, your last line of defense against a wild data, and hold the biggest opportunities for outcome improvement. No matter how much time […]
Be careful evaluating model predictions
One thing I teach is: when evaluating the performance of regression models you should not use correlation as your score. This is because correlation tells you if a re-scaling of your result is useful, but you want to know if the result in your hand is in fact useful. For […]
You should re-encode high cardinality categorical variables
Nina Zumel and I have been doing a lot of writing on the (important) details of re-encoding high cardinality categorical variables for predictive modeling. These are variables that essentially take on string-values (also called levels or factors) and vary through many such levels. Typical examples include zip-codes, vendor IDs, and […]