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
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) ##  c a a <NA> b a ## Levels: a b c print(class(f)) ##  "factor"
This example encoding a series of 6 observations into a known set of factor-levels (
'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) ##  "3" "1" "1" "a" "2" "1" print(class(fRevised)) ##  "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 regression have the same variance and are uncorrelated, then the estimators of the parameters in the model produced by least squares estimation are 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)
B is a vector (to be inferred),
i is an index that runs over the available data (say
x(i) is a per-example vector of features, and
y(i) is the scalar quantity to be modeled. Only
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
We are going to read through the Wikipedia statement of the Gauss-Markov theorem in detail.
When you apply machine learning algorithms on a regular basis, on a wide variety of data sets, you find that certain data issues come up again and again:
- Missing values (
- Problematic numerical values (
NaN, sentinel values like 999999999 or -1)
- Valid categorical levels that don’t appear in the training data (especially when there are rare levels, or a large number of levels)
- Invalid values
Of course, you should examine the data to understand the nature of the data issues: are the missing values missing at random, or are they systematic? What are the valid ranges for the numerical data? Are there sentinel values, what are they, and what do they mean? What are the valid values for text fields? Do we know all the valid values for a categorical variable, and are there any missing? Is there any principled way to roll up category levels? In the end though, the steps you take to deal with these issues will often be the same from data set to data set, so having a package of ready-to-go functions for data treatment is useful. In this article, we will discuss some of our usual data treatment procedures, and describe a prototype R package that implements them.
A quick R mini-tip: don’t use
data.matrix when you mean
model.matrix. If you do so you may lose (without noticing) a lot of your model’s explanatory power (due to poor encoding). Continue reading R minitip: don’t use data.matrix when you mean model.matrix
While following up on Nina Zumel’s excellent Trimming the Fat from glm() Models in R I got to thinking about code style in R. And I realized: you can make your code much prettier by designing more of your functions to return
data.frames. That may seem needlessly heavy-weight, but it has a lot of down-stream advantages. Continue reading R style tip: prefer functions that return data frames
Been reading a lot of Gelman, Carlin, Stern, Dunson, Vehtari, Rubin “Bayesian Data Analysis” 3rd edition lately. Overall in the Bayesian framework some ideas (such as regularization, and imputation) are way easier to justify (though calculating some seemingly basic quantities becomes tedious). A big advantage (and weakness) of this formulation is statistics has a much less “shrink wrapped” feeling than the classic frequentist presentations. You feel like the material is being written to peers instead of written to calculators (of the human or mechanical variety). In the Bayesian formulation you don’t feel like you will be yelled at for using 1 tablespoon of sugar when the recipe calls for 3 teaspoons (at least if you live in the United States).
Some other stuff reads differently after this though. Continue reading Skimming statistics papers for the ideas (instead of the complete procedures)