Posted on Categories data science, Expository Writing, Mathematics, Statistics, TutorialsTags , , , , , , 6 Comments on How robust is logistic regression?

How robust is logistic regression?

Logistic Regression is a popular and effective technique for modeling categorical outcomes as a function of both continuous and categorical variables. The question is: how robust is it? Or: how robust are the common implementations? (note: we are using robust in a more standard English sense of performs well for all inputs, not in the technical statistical sense of immune to deviations from assumptions or outliers.)

Even a detailed reference such as “Categorical Data Analysis” (Alan Agresti, Wiley, 1990) leaves off with an empirical observation: “the convergence … for the Newton-Raphson method is usually fast” (chapter 4, section 4.7.3, page 117). This is a book that if there is a known proof that the estimation step is a contraction (one very strong guarantee of convergence) you would expect to see the proof reproduced. I always suspected there was some kind of Brouwer fixed-point theorem based folk-theorem proving absolute convergence of the Newton-Raphson method in for the special case of logistic regression. This can not be the case as the Newton-Raphson method can diverge even on trivial full-rank well-posed logistic regression problems. Continue reading How robust is logistic regression?

Posted on Categories data science, Expository Writing, Pragmatic Machine Learning, Statistics, TutorialsTags , , , , , , 1 Comment on What does a generalized linear model do?

What does a generalized linear model do?

What does a generalized linear model do? R supplies a modeling function called glm() that fits generalized linear models (abbreviated as GLMs). A natural question is what does it do and what problem is it solving for you? We work some examples and place generalized linear models in context with other techniques. Continue reading What does a generalized linear model do?

Posted on Categories Mathematics, Programming, StatisticsTags , , 1 Comment on A bit more on impact coding

A bit more on impact coding

Dr. Nina Zumel recently published an excellent tutorial on a modeling technique she called impact coding. It is a pragmatic machine learning technique that has helped with more than one client project. Impact coding is a bridge from Naive Bayes (where each variable’s impact is added without regard to the known effects of any other variable) to Logistic Regression (where dependencies between variables and levels is completely accounted). A natural question is can pick up more of the positive features of each model? Continue reading A bit more on impact coding

Posted on Categories Computers, Exciting Techniques, Programming, Public Service Article, Rants, TutorialsTags , , , 5 Comments on Minimal Version Control Lesson: Use It

Minimal Version Control Lesson: Use It

There is no excuse for a digital creative person to not use some sort of version control or source control. In the past disk space was too dear, version control systems were too expensive and software was not powerful enough; this is no longer the case. Unless your work is worthless both back it up and version control it. We will demonstrate a minimal set of version control commands that will one day save your bacon. Continue reading Minimal Version Control Lesson: Use It

Posted on Categories data science, Pragmatic Machine Learning, Statistics, TutorialsTags , , , , , ,

Modeling Trick: Masked Variables

A primary problem data scientists face again and again is: how to properly adapt or treat variables so they are best possible components of a regression. Some analysts at this point delegate control to a shape choosing system like neural nets. I feel such a choice gives up far too much statistical rigor, transparency and control without real benefit in exchange. There are other, better, ways to solve the reshaping problem. A good rigorous way to treat variables are to try to find stabilizing transforms, introduce splines (parametric or non-parametric) or use generalized additive models. A practical or pragmatic approach we advise to get some of the piecewise reshaping power of splines or generalized additive models is: a modeling trick we call “masked variables.” This article works a quick example using masked variables. Continue reading Modeling Trick: Masked Variables

Posted on Categories Mathematics, Opinion, TutorialsTags , , , 4 Comments on How to outrun a crashing alien spaceship

How to outrun a crashing alien spaceship

Hollywood movies are obsessed with outrunning explosions and outrunning crashing alien spaceships. For explosions the movies give the optimal (but unusable) solution: run straight away. For crashing alien spaceships they give the same advice, but in this case it is wrong. We demonstrate the correct angle to flee.

PrometheusRun

Running from a crashing alien spaceship, Prometheus 2012, copyright 20th Century Fox
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Posted on Categories Pragmatic Machine Learning, Rants, Statistics, TutorialsTags , , , , , , 3 Comments on Selection in R

Selection in R

The design of the statistical programming language R sits in a slightly uncomfortable place between the functional programming and object oriented paradigms. The upside is you get a lot of the expressive power of both programming paradigms. A downside of this is: the not always useful variability of the language’s list and object extraction operators.

Towards the end of our write-up Survive R we recommended using explicit environments with new.env(hash=TRUE,parent=emptyenv()), assign() and get() to simulate mutable string-keyed maps for storing results. This advice rose out of frustration with the apparent inconsistency with the user facing R list operators. In this article we bite the bullet and discuss the R list operators a bit more clearly. Continue reading Selection in R

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Pragmatic Machine Learning

We are very excited to announce a new Win-Vector LLC blog category tag: Pragmatic Machine Learning. We don’t normally announce blog tags, but we feel this idea identifies an important theme common to a number of our articles and to what we are trying to help others achieve as data scientists. Please look for more news and offerings on this topic going forward. This is the stuff all data scientists need to know.

Posted on Categories Computers, Public Service Article, TutorialsTags , 7 Comments on Enhance OSX Finder

Enhance OSX Finder

I tend to prefer command line Linux and full window OSX for my work. The development and data handling tool chain is a bit better in Linux and the user interface reliability of the complete vertical stack is a bit better in OSX. I repeat here a couple of tips I found to improve the OSX finder.

Continue reading Enhance OSX Finder

Posted on Categories Opinion, StatisticsTags , 2 Comments on The differing perspectives of statistics and machine learning

The differing perspectives of statistics and machine learning

In both working with and thinking about machine learning and statistics I am always amazed at the differences in perspective and view between these two fields. In caricature it boils down to: machine learning initiates expect to get rich and statistical initiates expect to get yelled at. You can see hints of what the practitioners expect to encounter by watching their preparations and initial steps. Continue reading The differing perspectives of statistics and machine learning