Earlier quoted context omitted.
Okay, so that leads to a very obvious (imo) question I haven't seen anyone ask: What happens when you minimize Ln, with n > 2? Why don't we use any of those?
Increasing n gives increasing weight to outliers, to the point where L-infinity is just the single maximum value. I would guess this is less useful when attempting to understand how existing data can make conclusions about future aggregate/typical cases vs. analyzing specifically the outliers.
Unlearning descriptive statistics
71–80 of 95 posts
Re: Unlearning descriptive statistics
#72Earlier quoted context omitted.
1) it is pretty amazing that normit transformations (map the quantiles of a non-normal distribution onto a Gaussian and use that) don't seem to be on this guy's radar. We use distributions with linearly additive and affine invariant properties (normal plus normal is normal, bernoulli plus bernoulli is bitwise bernoulli) because we find linear algebra very useful. Nonparametric tests and procedures erode your power; n…
I largely agree with what you are saying but estimating the population transformation that makes the transformed data Gaussian from a finite sample is far from trivial. If you have any pointers to results that show distribution free guarantee of increased power I would be super happy to read. Here's a question for you , why not just deal with the quantiles directly (for example with quantile regression for regression…
Normit typically (not sure if universally) has the lovely property of giving you something like a marginal t-test without the assumptions of mixture-of-gaussians errors. You don't jerk around with U-statistics and thus the sample size doesn't make the test statistics so damned granular.
Re: Unlearning descriptive statistics
#73Earlier quoted context omitted.
1) it is pretty amazing that normit transformations (map the quantiles of a non-normal distribution onto a Gaussian and use that) don't seem to be on this guy's radar. We use distributions with linearly additive and affine invariant properties (normal plus normal is normal, bernoulli plus bernoulli is bitwise bernoulli) because we find linear algebra very useful. Nonparametric tests and procedures erode your power; n…
i googled "normit transformations". the only non-publication link on the first page was (i can only assume) an automatic japanese translation...
It's a hack, to be sure, but especially if you want to pool data (e.g. in mixed hierarchical models) for better predictions, it often pays off. The name is a play on "logit", "expit", "probit", "tobit", etc. since the actual transformation is relatively trivial for data that is already sorted. (For large unsorted data or streams, not so much)
Re: Unlearning descriptive statistics
#74Re: Unlearning descriptive statistics
#75Earlier quoted context omitted.
1) it is pretty amazing that normit transformations (map the quantiles of a non-normal distribution onto a Gaussian and use that) don't seem to be on this guy's radar. We use distributions with linearly additive and affine invariant properties (normal plus normal is normal, bernoulli plus bernoulli is bitwise bernoulli) because we find linear algebra very useful. Nonparametric tests and procedures erode your power; n…
Several great points (normit is the basis for the Gaussian copula, which was used to great effect to model the CDOs (collateralised debt obligations) that blew up in the GFC (global financial crisis)); but it would have been possible to raise them while being less dismissive...
Re: Unlearning descriptive statistics
#76Earlier quoted context omitted.
1) it is pretty amazing that normit transformations (map the quantiles of a non-normal distribution onto a Gaussian and use that) don't seem to be on this guy's radar. We use distributions with linearly additive and affine invariant properties (normal plus normal is normal, bernoulli plus bernoulli is bitwise bernoulli) because we find linear algebra very useful. Nonparametric tests and procedures erode your power; n…
Re: the linear methods vs. neural networks It depends on the domain. Logistic or most other classifiers won't get close to NN when classifying images or text. It's not 80-90% of the power. You are right when dealing with data that is not highly-dimensional and not very non-linear either. Also plenty of other domains..
I think that the nonlinearity is what really sets apart problems better handled by NNs (not just nonlinearity, but nonlinearity that resists any sort of linearizing transformation), even for lowish-dimensional data. If you look at a linear fit plus a relU, you're just tacking a hinge loss onto a linear/logistic fit. Stack a bunch of these on top of each other and you have a universal function approximator, for which the goodness of fit is limited by the data. If you don't have a crapton of data, the fit isn't likely to be a lot better than linear or transformed linear. If you do have a crapton of data with nonlinear relationships, the implicit structure can be better captured by the flexibility of an NN. But of course you can also spend a lot of time training and debugging the fit, when it might be possible to quickly fit and diagnose a low-dimensional linear or additive model and put it into production. For a long, long time, the most popular "machine learning" method in the valley was logistic regression :-)
For image classification the way people expect it to be done, you are absolutely right (CNNs are incredibly good at this when given enough labeled data). E.g. for relating histological images to genetics or other markers, there's almost no point in not using a CNN with or without a denoising autoencoder in front of it. For low-detail or sparse-and-low-rank mixtures, often you can use compressive approaches to get a lot faster training. But I'll not argue against CNNs for the general image recognition case.
Linear or logistic is typically a great start, and as you note, it's very general. If after trying the simplest thing that can possibly work (linear or logistic), you need better performance, or the linear models can't give you useful answers, ratcheting up the complexity is a reasonable response. You do need a good deal of data to make the latter step worthwhile in most cases. I see a lot of people skipping the first step or ignoring the need for lots of data, and these are the people who get in trouble.
Re: Unlearning descriptive statistics
#77For readers who are OK with some math, I recommend John Myles White's eye-opening post about means, medians, and modes: http://www.johnmyleswhite.com/notebook/2013/03/22/modes-medi... He describes these summary descriptive stats in terms of what penalty function they minimize: mean minimizes L2, median minimizes L1, mode minimizes L0. A single-number statistic is _going_ to leave things out, so if you must boil thing…
Glad you enjoyed that post so much. It really is a shame that we do such a bad job of teaching students about the inherent subjectivity of descriptive statistics and let students leave their courses with dangerous ideas about the existence of a Holy Grail statistic that will solve all of their problems.
It took me a long time to realize that a principled reason for gaussian parametric distributions is the maximum entropy principle. Prior to that point, it had been presented as essentially arbitrary, even by established professors.
There seems to be an assumption that theoretical statistics is "too hard", and as a result there's a middle ground that gets left out. I haven't taught general stats courses in awhile (although I've taught advanced ones), but if I did, might start with Bregman divergences, and work down in the manner of your blog post.
I think there's an in-between that gets lost. You can teach principles without deriving long proofs of everything along the way.
Students don't get taught the underling principles and philosophies to choose from, and I think this leads to the "holy grail" issues you're referring to.
It seems to be changing a bit with new interest in Bayesian methods, but that's just the tip of the iceberg.
Re: Unlearning descriptive statistics
#78Re: Unlearning descriptive statistics
#79Can somebody recommend a good book (or any other resource) on statistics? I mean kind of stuff this post talks about: descriptives, tests, all the basic stuff. Despite being somewhat familiar with that, I sometimes feel I really lack the solid understanding of the subject and am longing for something explanatory, with real life examples and exercises.
Re: Unlearning descriptive statistics
#80What's the "ordinal center"?