Sendhil Mullainathan gave an entertaining plenary talk on machine learning (ML) in finance, in Chicago last Saturday at the annual American Finance Association (AFA) meeting. (Many hundreds of people, standing room only -- great to see.) Not ...
Sendhil Mullainathan gave an entertaining plenary talk on machine learning (ML) in finance, in Chicago last Saturday at the annual American Finance Association (AFA) meeting. (Many hundreds of people, standing room only -- great to see.) Not ...
In this article we will discuss the machine learning method called “decision trees”, moving quickly over the usual “how decision trees work” and spending time on “why decision trees work.” We will write from a computational learning theory perspective, and hope this helps make both decision trees and computational learning theory more comprehensible. The goal … Continue reading Why do Decision Trees Work?
Just leaving this quote from ASA President Jessica Utts here (Source: Amstat News Dec 2016): A few days ago, I was in Vietnam and took a four-hour bus ride from Ha Long Bay to Hanoi. When I arrived, my fitness tracker had given me credit for taking 9,124 steps and climbing 81 flights of stairs during those four hours, even though I only left my seat once during a short…
What do the following items have in common? A. Motion-detection light switch in your office that shuts off while you're typing at your computer B. Automatic flush that turns on while you're seated C. Voice-recognition system that picks up ambient noise and asks you to repeat something you didn't say D. Auto-correct software that flips a correct spelling to the wrong one you didn't anti-auto-correct the last time E. Fuzzy-logic…
For me, 2016 is a year of water leaks. I was forced to move apartments during the summer. (Blame my old landlord for the lower frequency of posts this year!) That old apartment was overrun by water issues. In the past four years, there were two big leaks in addition to annual visible "seepage" in the ceiling. The first big leak ruined my first night back from Hurricane Sandy-induced evacuation.…
From the last post, you might think that efficient learning about low-frequency phenomena requires tall data. Certainly efficient estimation of trend, as stressed in the last post, does require tall data. But it turns out that efficient estimation of...
If you live in the States, and particularly a blue state, in the last year or two, it has been drilled into your head that Hillary Clinton was the overwhelming favorite to win the Presidential election. On the day before the election, when all the major media outlets finalized their "election forecasting models," they unanimously pronounced Clinton the clear winner, with a probability of winning of 70% to 99%. One…
Although largely uninformative for some purposes, dense data (high-frequency sampling) are highly informative for others. The massive example of recent decades is volatility estimation. The basic insight traces at least to Robert Merto...
This is the third and final post about the controversy over statistical analysis used in peer-reviewed published scholarly research. Most of the new stuff are covered in post #2 (link). Today's post covers statistical issues related to sample size, which is nothing new, but it was mentioned in Amy Cuddy's response to her critics and thus I also discuss it here. In post #2 (link), I offer the following mental…
