V krizi smisla tiči misel



O rudarjenju podatkov

Še ena na temo statistike v visokodimenzionalnih okoljih, dober članek na Vox.Eu Jennifer L. Castle in ekonometrične legende Davida F. Hendryja.

Kratek izsek:
“While ‘fool’s gold’ (iron pyrites) can be found by mining, most mining is a productive activity. Similarly, when properly conducted, so-called ‘data mining’ is no exception –despite many claims to the contrary. Early criticisms, such as the review of Tinbergen (1940) by Friedman (1940) for selecting his equations “because they yield high coefficients of correlation”, and by Lovell (1983) and Denton (1985) of data mining based on choosing ‘best fitting’ regressions, were clearly correct. It is also possible to undertake what Gilbert (1986) called ‘strong data mining’, whereby an investigator tries hundreds of empirical estimations, and reports the one she or he ‘prefers’ – even when such results are contradicted by others that were found. As Leamer (1983) expressed the matter: “The econometric art as it is practiced at the computer terminal involves fitting many, perhaps thousands, of statistical models. One or several that the researcher finds pleasing are selected for reporting purposes”. That an activity can be done badly does not entail that all approaches are bad, as stressed by Hoover and Perez (1999), Campos and Ericsson (1999), and Spanos (2000) – driving with your eyes closed is a bad idea, but most car journeys are safe.”

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