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Be careful evaluating model predictions

One thing I teach is: when evaluating the performance of regression models you should not use correlation as your score.

This is because correlation tells you if a re-scaling of your result is useful, but you want to know if the result in your hand is in fact useful. For example: the Mars Climate Orbiter software issued thrust commands in pound-seconds units to an engine expecting the commands to be in newton-seconds units. The two quantities are related by a constant ratio of 1.4881639, and therefore anything measured in pound-seconds units will have a correlation of 1.0 with the same measurement in newton-seconds units. However, one is not the other and the difference is why the Mars Climate Orbiter “encountered Mars at a lower than anticipated altitude and disintegrated due to atmospheric stresses.”

The need for a convenient direct F-test without accidentally triggering the implicit re-scaling that is associated with calculating a correlation is one of the reasons we supply the sigr R library. However, even then things can become confusing.


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Please read on for a nasty little example. Continue reading Be careful evaluating model predictions

Posted on Categories Applications, Expository Writing, Pragmatic Data Science, Pragmatic Machine Learning, Statistics, Statistics To English TranslationTags , , , ,

Statistics to English Translation, Part 2b: Calculating Significance

In the previous installment of the Statistics to English Translation, we discussed the technical meaning of the term ”significant”. In this installment, we look at how significance is calculated. This article will be a little more technically detailed than the last one, but our primary goal is still to help you decipher statements about significance in research papers: statements like “
$ (F(2, 864) = 6.6, p = 0.0014)$ ”.

As in the last article, we will concentrate on situations where we want to test the difference of means. You should read that previous article first, so you are familiar with the terminology that we use in this one.

A pdf version of this current article can be found here.
Continue reading Statistics to English Translation, Part 2b: Calculating Significance