Category Archives: Statistics

One place not to use the Sharpe ratio

Having worked in finance I am a public fan of the Sharpe ratio. I have written about this here and here.

One thing I have often forgotten (driving some bad analyses) is: the Sharpe ratio isn’t appropriate for models of repeated events that already have linked mean and variance (such as Poisson or Binomial models) or situations where the variance is very small (with respect to the mean or expectation). These are common situations in a number of large scale online advertising problems (such as modeling the response rate to online advertisements or email campaigns).


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Photo “eggs in a basket” copyright MicoAssist appropriate CC license

In this note we will quickly explain the problem. Continue reading One place not to use the Sharpe ratio

The Win-Vector R data science value pack

Win-Vector LLC is proud to announce the R data science value pack. 50% off our video course Introduction to Data Science (available at Udemy) and 30% off Practical Data Science with R (from Manning). Pick any combination of video, e-book, and/or print-book you want. Instructions below.

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Does Balancing Classes Improve Classifier Performance?

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?

R bracket is a bit irregular

While skimming Professor Hadley Wickham’s Advanced R I got to thinking about nature of the square-bracket or extract operator in R. It turns out “[,]” is a bit more irregular than I remembered.

The subsetting section of Advanced R has a very good discussion on the subsetting and selection operators found in R. In particular it raises the important distinction of two simultaneously valuable but incompatible desiderata: simplification of results versus preservation of results. Continue reading R bracket is a bit irregular

Random Test/Train Split is not Always Enough

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

The Geometry of Classifiers

As John mentioned in his last post, we have been quite interested in the recent study by Fernandez-Delgado, et.al., “Do we Need Hundreds of Classifiers to Solve Real World Classification Problems?” (the “DWN study” for short), which evaluated 179 popular implementations of common classification algorithms over 120 or so data sets, mostly from the UCI Machine Learning Repository. For fun, we decided to do a follow-up study, using their data and several classifier implementations from scikit-learn, the Python machine learning library. We were interested not just in classifier accuracy, but also in seeing if there is a “geometry” of classifiers: which classifiers produce predictions patterns that look similar to each other, and which classifiers produce predictions that are quite different? To examine these questions, we put together a Shiny app to interactively explore how the relative behavior of classifiers changes for different types of data sets.

Continue reading The Geometry of Classifiers

A comment on preparing data for classifiers

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