I am proud to announce a new Win-Vector LLC statistics video course:

Campaign Response Testing

John Mount, Win-Vector LLC

Continue reading New video course: Campaign Response Testing

I am proud to announce a new Win-Vector LLC statistics video course:

Campaign Response Testing

John Mount, Win-Vector LLC

Continue reading New video course: Campaign Response Testing

It’s a folk theorem I sometimes hear from colleagues and clients: that you must balance the class prevalence before training a classifier. Certainly, I believe that classification tends to be *easier* when the classes are nearly balanced, especially when the class you are actually interested in is the rarer one. But I have always been skeptical of the claim that artificially balancing the classes (through resampling, for instance) always helps, when the model is to be run on a population with the native class prevalences.

On the other hand, there are situations where balancing the classes, or at least enriching the prevalence of the rarer class, might be necessary, if not desirable. Fraud detection, anomaly detection, or other situations where positive examples are hard to get, can fall into this case. In this situation, I’ve suspected (without proof) that SVM would perform well, since the formulation of hard-margin SVM is pretty much distribution-free. Intuitively speaking, if both classes are far away from the margin, then it shouldn’t matter whether the rare class is 10% or 49% of the population. In the soft-margin case, of course, distribution starts to matter again, but perhaps not as strongly as with other classifiers like logistic regression, which explicitly encodes the distribution of the training data.

So let’s run a small experiment to investigate this question.

Continue reading Does Balancing Classes Improve Classifier Performance?

Win-Vector LLC’s Nina Zumel and John Mount are proud to announce their new data science video course Introduction to Data Science is now available on Udemy.

Continue reading Announcing: Introduction to Data Science video course

Most data science projects are well served by a random test/train split. In our book *Practical Data Science with R* we strongly advise preparing data and including enough variables so that data is exchangeable, and scoring classifiers using a random test/train split.

With enough data and a big enough arsenal of methods, it’s relatively easy to find a classifier that *looks* good; the trick is finding one that *is* good. What many data science practitioners (and consumers) don’t seem to remember is that when evaluating a model, a random test/train split may not always be enough.

Continue reading Random Test/Train Split is not Always Enough

We have often been asked “why is there no Kindle edition of Practical Data Science with R on Amazon.com?” The short answer is: there is an edition you can read on your Kindle: but it is from the publisher Manning (not Amazon.com). Continue reading Is there a Kindle edition of Practical Data Science with R?

I have been working through (with some honest appreciation) a recent article comparing many classifiers on many data sets: “Do we Need Hundreds of Classifiers to Solve Real World Classification Problems?” Manuel Fernández-Delgado, Eva Cernadas, Senén Barro, Dinani Amorim; 15(Oct):3133−3181, 2014 (which we will call “the DWN paper” in this note). This paper applies 179 popular classifiers to around 120 data sets (mostly from the UCI Machine Learning Repository). The work looks good and interesting, but we do have one quibble with the data-prep on 8 of the 123 shared data sets. Given the paper is already out (not just in pre-print) I think it is appropriate to comment publicly. Continue reading A comment on preparing data for classifiers

Any practicing data scientist is going to eventually have to work with a data stored in a Microsoft `Excel`

spreadsheet. A lot of analysts use this format, so if you work with others you are going to run into it. We have already written how we don’t recommend using `Excel`

-like formats to exchange data. But we know if you are going to work with others you are going to have to make accommodations (we even built our own modified version of `gdata`

‘s underlying `Perl`

script to work around a bug).

But one thing that continues to confound us is how hard it is to read `Excel`

data correctly. When `Excel`

exports into `CSV/TSV`

style formats it uses fairly clever escaping rules about quotes and new-lines. Most `CSV/TSV`

readers fail to correctly implement these rules and often fail on fields that contain actual quote characters, separators (tab or comma), or new-lines. Another issue is `Excel`

itself often transforms data without any user verification or control. For example: `Excel`

routinely turns date-like strings into time since epoch (which it then renders as a date). We recently ran into another uncontrollable `Excel`

transform: changing the strings “`TRUE`

” and “`FALSE`

” into 1 and 0 inside the actual “`.xlsx`

” file. That is `Excel`

does not faithfully store the strings “`TRUE`

” and “`FALSE`

” even in its native format. Most `Excel`

users do not know about this, so they certainly are in no position to warn you about it.

This would be a mere annoyance, except it turns out `Libre Office`

(or at least LibreOffice_4.3.4_MacOS_x86-64) has a severe and silent data mangling bug on this surprising Microsoft boolean type.

We first ran into this in client data (and once the bug triggered it seemed to alter most of the columns), but it turns out the bug is very easy to trigger. In this note we will demonstrate the data representation issue and bug. Continue reading Excel spreadsheets are hard to get right

Continuing our series of reading out loud from a single page of a statistics book we look at page 224 of the 1972 Dover edition of Leonard J. Savage’s “The Foundations of Statistics.” On this page we are treated to an example attributed to Leo A. Goodman in 1953 that illustrates how for normally distributed data the maximum likelihood, unbiased, and minimum variance estimators of variance are in fact typically three different values. So in the spirit of gamesmanship you always have at least two reasons to call anybody else’s estimator incorrect. Continue reading Bias/variance tradeoff as gamesmanship

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)
print(f)
## [1] c a a <NA> b a
## Levels: a b c
print(class(f))
## [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(is.na(f),'a',f)
print(fRevised)
## [1] "3" "1" "1" "a" "2" "1"
print(class(fRevised))
## [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

**What is the Gauss-Markov theorem?**

From “The Cambridge Dictionary of Statistics” B. S. Everitt, 2nd Edition:

A theorem that proves that if the error terms in a

multiple regressionhave the same variance and are uncorrelated, then the estimators of the parameters in the model produced byleast squares estimationare better (in the sense of having lower dispersion about the mean) than any other unbiased linear estimator.

This is pretty much considered the “big boy” reason least squares fitting can be considered a good implementation of linear regression.

Suppose you are building a model of the form:

```
``` y(i) = B . x(i) + e(i)

where `B`

is a vector (to be inferred), `i`

is an index that runs over the available data (say `1`

through `n`

), `x(i)`

is a per-example vector of features, and `y(i)`

is the scalar quantity to be modeled. Only `x(i)`

and `y(i)`

are observed. The `e(i)`

term is the un-modeled component of `y(i)`

and you typically hope that the `e(i)`

can be thought of unknowable effects, individual variation, ignorable errors, residuals, or noise. How weak/strong assumptions you put on the `e(i)`

(and other quantities) depends on what you know, what you are trying to do, and which theorems you need to meet the pre-conditions of. The Gauss-Markov theorem assures a good estimate of `B`

under weak assumptions.

**How to interpret the theorem**

The point of the Gauss-Markov theorem is that we can find conditions ensuring a good fit without requiring detailed distributional assumptions about the `e(i)`

and without distributional assumptions about the `x(i)`

. However, if you are using Bayesian methods or generative models for predictions you *may want* to use additional stronger conditions (perhaps even normality of errors and *even* distributional assumptions on the `x`

s).

We are going to read through the Wikipedia statement of the Gauss-Markov theorem in detail.