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Estimating Generalization Error with the PRESS statistic

As we’ve mentioned on previous occasions, one of the defining characteristics of data science is the emphasis on the availability of “large” data sets, which we define as “enough data that statistical efficiency is not a concern” (note that a “large” data set need not be “big data,” however you choose to define it). In particular, we advocate the use of hold-out data to evaluate the performance of models.

There is one caveat: if you are evaluating a series of models to pick the best (and you usually are), then a single hold-out set is strictly speaking not enough. Hastie,, say it best:

Ideally, the test set should be kept in a “vault,” and be brought out only at the end of the data analysis. Suppose instead that we use the test-set repeatedly, choosing the model with smallest test-set error. Then the test set error of the final chosen model will underestimate the true test error, sometimes substantially.

— Hastie, Tibshirani and Friedman, The Elements of Statistical Learning, 2nd edition.

The ideal way to select a model from a set of candidates (or set parameters for a model, for example the regularization constant) is to use a training set to train the model(s), a calibration set to select the model or choose parameters, and a test set to estimate the generalization error of the final model.

In many situations, breaking your data into three sets may not be practical: you may not have very much data, or the the phenomena you’re interested in are rare enough that you need a lot of data to detect them. In those cases, you will need more statistically efficient estimates for generalization error or goodness-of-fit. In this article, we look at the PRESS statistic, and how to use it to estimate generalization error and choose between models.

Continue reading Estimating Generalization Error with the PRESS statistic

Posted on Categories Computer Science, Opinion, Practical Data Science, Pragmatic Data Science, Programming, Rants, StatisticsTags , , , 4 Comments on Factors are not first-class citizens in R

Factors are not first-class citizens in R

The primary user-facing data types in the R statistical computing environment behave as vectors. That is: one dimensional arrays of scalar values that have a nice operational algebra. There are additional types (lists, data frames, matrices, environments, and so-on) but the most common data types are vectors. In fact vectors are so common in R that scalar values such as the number 5 are actually represented as length-1 vectors. We commonly think about working over vectors of “logical”, “integer”, “numeric”, “complex”, “character”, and “factor” types. However, a “factor” is not a R vector. In fact “factor” is not a first-class citizen in R, which can lead to some ugly bugs.

For example, consider the following R code.

levels <- c('a','b','c')
f <- factor(c('c','a','a',NA,'b','a'),levels=levels)
## [1] c    a    a    <NA> b    a   
## Levels: a b c
## [1] "factor"

This example encoding a series of 6 observations into a known set of factor-levels ('a', 'b', and 'c'). As is the case with real data some of the positions might be missing/invalid values such as NA. One of the strengths of R is we have a uniform explicit representation of bad values, so with appropriate domain knowledge we can find and fix such problems. Suppose we knew (by policy or domain experience) that the level 'a' was a suitable default value to use when the actual data is missing/invalid. You would think the following code would be the reasonable way to build a new revised data column.

fRevised <- ifelse(,'a',f)
##  [1] "3" "1" "1" "a" "2" "1"
## [1] "character"

Notice the new column fRevised is an absolute mess (and not even of class/type factor). This sort of fix would have worked if f had been a vector of characters or even a vector of integers, but for factors we get gibberish.

We are going to work through some more examples of this problem. Continue reading Factors are not first-class citizens in R

Posted on Categories Administrativia, MathematicsTags , ,

What is a win vector?

From time to time we are asked “what is the company name Win-Vector LLC referring to?” It is a cryptic pun trying to be an encoding of “we deliver victory.”

The story is an inside joke referring to something really only funny to one of the founders. But a joke that amuses the teller is always enjoyed by at least one person. Win-Vector LLC’s John Mount had the honor of co-authoring a 1997 paper titled “The Polytope of Win Vectors.” The paper title is obviously mathematical terms in an odd combination. However the telegraphic grammar is coincidentally similar to deliberately ungrammatical gamer slang such as “full of win” and “so much win.”

2829551 full of win

If we treat “win” as a concrete noun (say something you can put in a sack) and “vector” in its non-mathematical sense (as an entity of infectious transmission) we have “Win-Vector LLC is an infectious delivery of victory.” I.e.: we deliver success to our clients. Of course, we have now attempt to explain a weak joke. It is not as grand as “winged victory,” but it does encode a positive company value: Win-Vector LLC delivers successful data science projects and training to clients.

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Winged Victory: from Wikipedia

Let’s take this as an opportunity to describe what a win vector is. Continue reading What is a win vector?