## A Time Series Apologia

I would like to share a new article on some of the methods and pitfalls of time series forecasting: “A Time Series Apologia”. In it I work the seemingly simple problem of forecasting a noisy copy of sin(t). The purpose of the article is to demonstrate using ARIMA methods, and […]

## How Much Data Do You Need?

Introduction A common question in analytics, statistics, and data science projects is: how much data do you need? This question actually has very specific and clear answers! A first good answer is “it is good to have a lot.” Let’s dig deeper and get some additional more detailed quantitative answers. […]

## Bounding Excess Generalization Error for Linear Regression Models

Introduction The goal of this note is to try and characterize excess generalization error: how much worse your model works in production versus how well it appeared to work during training. The clarifying point is excess generalization error (also called overfit) isn’t so much the model performing unexpectedly poorly on […]

Introduction I want to spend some time thinking out loud about linear regression. As a data science consultant and teacher I spend a lot of time using linear regression and teaching linear regression. I have found each of these pursuits can degenerate into mere doctrine or instructions. “do this,” “expect […]

## Effect Sizes Say More Than Standard Scores

I’d like to write a bit about measuring effect sizes and Cohen’s d. Introduction For our note let’s settle on a single simple example problem. We have two samples of real numbers a_1, …, a_n and b_1, …, b_n. All the a_i are mutually exchangeable or generated by an independent […]

## 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) […]