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# CS109/Stat121/AC209/E-109

Data Science
Statistical Models
Hanspeter Pfister, Joe Blitzstein, and Verena Kaynig

## data y statistical inference model parameter

(observed) probability (unobserved)
This Week
HW1 due next Thursday - start last week!

## Please avoid posting duplicate questions on

Piazza (always search first), and avoid posting
code from your homework solutions (see
Andrews post https://piazza.com/class/
icf0cypdc3243c?cid=310 for more)
Drowning in data, but starved for information

source: http://extensionengine.com/drowning-in-data-the-biggest-hurdle-for-mooc-proliferation/
What is a statistical model?
a family of distributions, indexed by parameters
sharpens distinction between data and parameters,
and between estimators and estimands
parametric (e.g., based on Normal, Binomial) vs.
nonparametric (e.g., methods like bootstrap, KDE)

## data y statistical inference model parameter

(observed) probability (unobserved)
What good is a statistical model?
All models are wrong, but some models are useful.
George Box (1919-2013)

All models are wrong, but some models are useful. George Box
Jorge Luis Borges,
On Exactitude in Science
In that Empire, the Art of Cartography attained such Perfection
that the map of a single Province occupied the entirety of a City,
and the map of the Empire, the entirety of a Province. In time,
those Unconscionable Maps no longer satisfied, and the
Cartographers
All models Guild struck
are wrong, a Map
but some of the
models Empirewhose
are useful. size was
George Box
that of the Empire, and which coincided point for point with it.

Big Data vs. Pig Data:
https://scensci.wordpress.com/2012/12/14/big-data-or-pig-
data/
Statistical Models: Two Books
Parametric vs. Nonparametric
parametric: finite-dimensional parameter space (e.g.,
mean and variance for a Normal)
nonparametric: infinite-dimensional parameter space
is there anything in between?
nonparametric is very general, but no free lunch!
remember to plot and explore the data!
Parametric Model Example:
Exponential Distribution
x
f (x) = e ,x > 0
1.2

1.0
1.0

0.8
0.8

0.6
pdf

0.6

cdf

0.4
0.4

0.2
0.2
0.0

0.0
0.0 0.5 1.0 1.5 2.0 2.5 3.0 0.0 0.5 1.0 1.5 2.0 2.5 3.0

x x

## Remember the memoryless property!

Exponential Distribution
x
f (x) = e ,x > 0

## Exponential is characterized by memoryless property

all models are wrong, but some are useful...
iterate between exploring, the data model-building,
model-fitting, and model-checking
key building block for more realistic models

## Remember the memoryless property!

The Weibull Distribution
Exponential has constant hazard function
Weibull generalizes this to a hazard that is t to a power
much more flexible and realistic than Exponential
representation: a Weibull is an Expo to a power
Family Tree of Parametric Distributions
HGeom

Limit

Conditioning

Bin
(Bern)

Limit

Conjugacy
Conditioning

Beta
Pois
(Unif)

Limit
Poisson process Bank - post oce
Conjugacy

Gamma NBin
Normal
(Expo, Chi-Square) Limit (Geom)
Limit

Limit

Student-t
(Cauchy)

## Blitzstein-Hwang, Introduction to Probability

Binomial Distribution
Figure 3.6 shows plots of the Binomial PMF for various values of n and p. Note that
the PMF of the Bin(10, 1/2) distribution is symmetric about 5, but when the success
story: X~Bin(n,p) is the number of successes in n
probability is not 1/2, the PMF is skewed. For a fixed number of trials n, X tends to be
larger when the success probability is high and lower when the success probability is low,
independent Bernoulli(p) trials.
as we would expect from the story of the Binomial distribution. Also recall that in any
PMF plot, the sum of the heights of the vertical bars must be 1.

Bin(10,1/2) Bin(10,1/8)

0.30

0.4

0.25

0.3
0.20

0.15
pmf

pmf

0.2

0.10

0.1

0.05

0.00

0.0

0 2 4 6 8 10 0 2 4 6 8 10

x x

Bin(100,0.03) Bin(9,4/5)
0.30

0.4
0.25

0.3

0.20

0.15
pmf

pmf

0.2

0.10

0.1
0.05

0.00

0.0

0 2 4 6 8 10 0 2 4 6 8 10

x x
Binomial Distribution
story: X~Bin(n,p) is the number of successes in n
independent Bernoulli(p) trials.

## Example: # votes for candidate A in election with n voters,

where each independently votes for A with probability p

## mean is np (by story and linearity of expectation:

E(X+Y)=E(X)+E(Y))

## variance is np(1-p) (by story and the fact that

Var(X+Y)=Var(X)+Var(Y) if X,Y are uncorrelated)
(Doonesbury)
Poisson Distribution
Poisson
story: count number of events that occur, when there are a
last discrete distribution that well introduce in this chapter is the
large number of independent rare events.
h is an extremely popular distribution for modeling discrete data. We
its PMF, mean, and variance, and then discuss its story in more deta
Examples: # mutations in genetics, # of traffic accidents at a
nition 4.7.1 certain
(Poissonintersection, # of An
distribution). emails
r.v.inXanhas
inbox
the Poisson dis
parameter , where mean > =0,variance for the
if the PMF of XPoisson
is

e k
P (X = k) = , k = 0, 1, 2, . . . .
k!
write this as X Pois( ).
P1 k
is a valid PMF because of the Taylor series k=0 k! =e .
mple 4.7.2 (Poisson expectation and variance). Let X Pois( ).
w that the mean and variance are both equal to . For the mean, we h
Poisson PMF, CDF

1.0

1.0

0.8

0.8

0.6

0.6
PMF

CDF
Pois(2)

0.4
0.4

0.2
0.2

0.0

0.0

0 1 2 3 4 5 6 0 1 2 3 4 5 6
x x
1.0

1.0

0.8

0.8

0.6

0.6

PMF

CDF
Pois(5) 0.4

0.4

0.2
0.2

0.0

0.0

0 2 4 6 8 10 0 2 4 6 8 10
x x

FIGURE 4.7
dence of r.v.s) and of good approximations (there are various ways to m
Poisson
ood an approximation Approximation
is). A remarkable theorem is that, in the above n
Aj are independent, N Pois( ), and B is any set of nonnegative i
X
n
1 2
|P (X 2 B) P (N 2 B)| min 1, pj .
j=1

if X is the number of events that occur, where the ith event has probability
provides
pi , andanNupper
Pois( bound
), with on
thehow much
average error
number is incurred
of events afrom using
that occur.
ximation, not only for approximating the PMF of X, but also for appr
e probability that
P X is any set. Also, it makes more precise how sma
d be: weExample:
want nj=1 in pmatching problem,
2 to be very
j small, theatprobability
or least very of
small comp
no match
e result can be shown is approximately
using an 1/e. known as the Stei
d.
Poisson paradigm is also called the law of rare events. The interpret
is that the pj are small, not that is small. For example, in the email e
w probability of getting an email from a specific person in a particular
by the large number of people who could send you an email in that hou
Poisson Model Example

0.30

## 0.02 0.04 0.06 0.08

Poisson model
empirical distribution

q = 1.83)
0.20
Pr(Y i = y i )

Pr( Y i = y|q
0.10 0.00

0.00
0 2 4 6 8 0 10 20
number of children number
source: Hoff, A First Course in Bayesian Statistical Methods
Fig. 3.7. Poisson distributions. The first panel shows a Poisso
Extensions:mean
Zero-Inflated Poisson,
of 1.83, along with theNegative Binomial, of
empirical distribution the nu
women of age 40 from the GSS during the 1990s. The secon
distribution of the sum of 10 i.i.d. Poisson random variables w
Normal (Gaussian) Distribution
symmetry
central limit theorem
characterizations (e.g., via entropy)
68-95-99.7% rule

Wikipedia
Normal Approximation to Binomial

Wikipedia
The Magic of Statistics

## source: Ramsey/Schafer, The Statistical Sleuth

The Evil Cauchy Distribution

Bootstrap (Efron, 1979)
data: 3.142 2.718 1.414 0.693 1.618

## resample with replacement, use empirical

distribution to approximate true distribution
Bootstrap World

source: http://pubs.sciepub.com/ijefm/3/3/2/
which is based on diagram in Efron-Tibshirani book