Jane Austen wrote her novels during the Napoleonic wars, but no reader who did not know this already would guess it, for the wars do not appear in her pages, even though a number of the young gentlemen who pass through them undoubtedly took part in them. It is inconceivable that any novelist could write about Britain in the twentieth-century wars in this manner.

The monster of twentieth-century total war was not born full-sized. Nevertheless, from 1914 on, wars were unmistakably mass wars. Even in the First World War Britain mobilized 12.5 per cent of its men for the forces, Germany 15.4 per cent, France almost 17 per cent. In the Second World War the percentage of the total active labour force that went into the armed forces was pretty generally in the neighborhood of 20 per cent (Milward, 1979, p. 216). We may note in passing that such a level of mass mobilization, lasting for a matter of years, cannot be maintained except by a modern high-productivity industrialized economy, and – or alternatively – an economy largely in the hands of the non-combatant parts of the population. Traditional agrarian economies cannot usually mobilize so large a proportion of their labour force except seasonally, at least in the temperate zone, for there are times in the agricultural year when all hands are needed (for instance to get in the harvest). Even in industrial societies so great a manpower mobilization puts enormous strains on the labour force, which is why modern mass wars both strengthened the powers of organized labour and produced a revolution in the employment of women outside the household: temporarily in the First World War, permanently in the Second World War.

A *superior good* is something that one purchases more of as income rises. Here it is appealing to, at least metaphorically, see the huge expenditures on industrial armaments as revealing arms as superior goods in this sense.

Prior to the experiment you could do stratified randomization (i.e. blocking) according to some categorical covariate (making sure that there there are same number of, e.g., each gender, country, paid/free accounts in each treatment). But you can also do something similar after: compute an ATE within each stratum and then combine the strata-level estimates, weighting by the total number of observations in each stratum. For details — and proofs showing this often won’t be much worse than blocking, consult Miratrix, Sekhon & Yu (2013).

Often what you most want to adjust for is a single numeric covariate,^{1} such as a lagged version of your outcome (i.e., your outcome from some convenient period before treatment). You can simply use ordinary least squares regression to adjust for this covariate by regressing your outcome on both a treatment indicator and the covariate. Even better (particularly if treatment and control are different sized by design), you should regress your outcome on: a treatment indicator, the covariate centered such that it has mean zero, and the product of the two.^{2} Asymptotically (and usually in practice with a reasonably sized experiment), this will increase precision and it is pretty easy to do. For more on this, see Lin (2012).

If you have a lot more covariates to adjust for, you may want to use some kind of penalized regression. For example, you could use the Lasso (L1-penalized regression); see Bloniarz et al. (2016).

Maybe you instead want to use neural nets, trees, or an ensemble of a bunch of models? That’s fine, but if you want to be able to do valid statistical inference (i.e., get 95% confidence intervals that actually cover 95% of the time), you have to be careful. The easiest way to be careful in many Internet industry settings is just to use historical data to train the model and then get out-of-sample predictions Yhat from that model for your present experiment. You then then just subtract Yhat from Y and use the simple difference-in-means estimator. Aronow and Middleton (2013) provide some technical details and extensions. A simple extension that makes this more robust to changes over time is to use this out-of-sample Yhat as a covariate, as described above.^{3}

- As Winston Lin notes in the comments and as is implicit in my comparison with post-stratification, as long as the number of covariates is small and not growing with sample size, the same asymptotic results apply.
- Note that if the covariate is binary or, more generally, categorical, then this exactly coincides with the post-stratified estimator considered above.
- I added this sentence in response to Winston Lin’s comment.

There is a 19-year-old black man in Illinois who has no idea of the role he is playing in this election.

He is sure he is going to vote for Donald J. Trump.

And he has been held up as proof by conservatives — including outlets like Breitbart News and The New York Post — that Mr. Trump is excelling among black voters. He has even played a modest role in shifting entire polling aggregates, like the Real Clear Politics average, toward Mr. Trump.

As usual, Andrew Gelman suggests that the solution to this problem is a technique he calls “Mr. P” (multilevel regression and post-stratification). I wanted to comment on some practical tradeoffs among common methods. Maybe these are useful notes, which can be read alongside another nice piece by Nate Cohn on how different adjustment methods can yield very different polling results.

Complete post-stratification is when you compute the mean outcome (e.g., support for Clinton) for each stratum of people, such as 18-24-year-old black men, defined by the covariates *X*. Then you combine these weighting by the size of each group in the population of interest. This really only works when you have a lot of data compared with the number of strata — and the number of strata grows very fast in the number of covariates you want to adjust for.

When people talk about survey weighting, often what they mean is weighting by inverse of the estimated probability of inclusion in the sample. You model selection into the survey *S* using, e.g., logistic regression on the covariates *X* and some interactions. This can be done with regularization (i.e., priors, shrinkage) since many of the terms in the model might be estimated with very few observations. Especially without enough regularization, this can result in very large weights when you don’t have enough of some particular type in your sample.

You fit a model predicting the response (e.g., support for Clinton) *Y* with the covariates *X.* You regularize this model in some way so that the estimate for each person is going to “borrow strength” from other people with similar *X*s. So now you have a fitted responses *Yhat* for each unique *X. *To get an estimate for a particular population of interest, integrate out over the distribution of *X* in that population. Gelman’s preferred version “Mr. P” uses a multilevel (aka hierarchical Bayes, random effects) model for the outcome, but other regularization methods may often be appealing.

This is nice because there can be some substantial efficiency gains (i.e. more precision) by making use of the outcome information. But there are also some practical issues. First, you need a model for each outcome in your analysis, rather than just having weights you could use for all outcomes and all recodings of outcomes. Second, the implicit weights that this process puts on each observation can vary from outcome to outcome — or even for different codings (i.e. a dichotomization of answers on a numeric scale) of the same outcome. In a reply to his post, Gelman notes that you would need a different model for each outcome, but that some joint model for all outcomes would be ideal. Of course, the latter joint modeling approach, while appealing in some ways (many statisticians love having one model that subsumes everything…) means that adding a new outcome to analysis would change all prior results.

Side note: Other methods, not described here, also work towards the aim of matching characteristics of the population distribution (e.g., iterative proportional fitting / raking). They strike me as overly specialized and not easy to adapt and extend.

]]>From when Russ, Dave, and Tony started floating these ideas, I’ve pointed out the similarity with a often forgotten scene^{1} in *Snow Crash*, in which a character — Y.T.’s mom — is tracked by her employer (the Federal Government actually) as she reads a memo on a cost-saving program. Here’s an except from Chapter 37:

Y.T.’s mom pulls up the new memo, checks the time, and starts reading it. The estimated reading time is 15.62 minutes. Later, when Marietta [her boss] does her end-of-day statistical roundup, sitting in her private office at 9:00 P.M., she will see the name of each employee and next to it, the amount of time spent reading this memo, and her reaction, based on the time spent, will go something like this:

• Less than 10 min.: Time for an employee conference and possible attitude counseling.

• 10-14 min.: Keep an eye on this employee; may be developing slipshod attitude.

• 14-15.61 min.: Employee is an efficient worker, may sometimes miss important details.

• Exactly 15.62 min.: Smartass. Needs attitude counseling.

• 15.63-16 min.: Asswipe. Not to be trusted.

• 16-18 min.: Employee is a methodical worker, may sometimes get hung up on minor details.

• More than 18 min.: Check the security videotape, see just what this employee was up to (e.g., possible unauthorized restroom break).

Y.T.’s mom decides to spend between fourteen and fifteen minutes reading the memo. It’s better for younger workers to spend too long, to show that they’re careful, not cocky. It’s better for older workers to go a little fast, to show good management potential. She’s pushing forty. She scans through the memo, hitting the Page Down button at reasonably regular intervals, occasionally paging back up to pretend to reread some earlier section. The computer is going to notice all this. It approves of rereading. It’s a small thing, but over a decade or so this stuff really shows up on your work-habits summary.

This is pretty much what DocSend provides. And, despite the emphasis on sales etc., some of their customers are using this for internal HR training — which shifts the power asymmetry in how this technology is used from salespeople selling to companies (which can choose not to buy, etc.) to employers tracking their employees.^{2}

To conclude, it’s worth noting that, at least for a time, product managers at Facebook — Russ’ job before starting DocSend — were required to read Snow Crash as part of their internal training. Though I don’t think the folks running PM bootcamp actually tracked whether their subordinates looked at each page.

- I know it’s often forgotten because I’ve tried referring to the scene with many people who have read Snow Crash— or at least claim to have read it…
- Of course, there are some products that do this kind of thing. What distinguishes DocSend is how easy it makes it to add such personalized tracking to simple documents and that this is the primary focus of the product, unlike larger sales tool sets like ClearSlide.

We emphasize the value of EDA for building and testing intuitions about a data set, identifying problems or surprises in data, summarizing variables and relationships, and supporting other data analysis tasks. The course materials are all free, and you can also sign up for tutoring, grading (especially useful for the final project), and certification.

Between providing general advice on data analysis and visualization, stepping students through exactly how to produce particular plots, and reasoning about how the data can answer questions of interest, the course includes interviews with four of our amazing colleagues on the Facebook Data Science team:

- Aude Hofleitner shares the process behind research on coordinated migration using hometown and “current city” Facebook data. (Udacity, YouTube)
- Lada Adamic gives an example of the importance of considering transformations of both x- and y-axes in an analysis from our forthcoming paper on the spread of rumors, memes, and urban legends on Facebook. (Udacity, YouTube)
- Sean Taylor illustrates the bias–variance tradeoff and other modeling decisions in his work on sentiment expressed by NFL (American football) fans. (Udacity, YouTube)
- Eytan Bakshy provides advice and encouragement to people working to become a “data scientist” (whatever that is). (Udacity, YouTube)

One unique feature of this course is that one of the data sets we use is a “pseudo-Facebook” data set that Moira and I created to share many features with real Facebook data, but to not describe any particular real Facebook users or reveal certain kinds of information about aggregate behavior. Other data sets used in the course include two different data sets giving sale prices for diamonds and panel “scanner” data describing yogurt purchases.

It was an fascinating and novel process putting together this course. We scripted almost everything in detail in advance — before any filming started — using first outlines, then drafts using Markdown in R with knitr, and then more detailed scripts with Udacity-specific notation for all the different shots and interspersed quizzes. I think this is part of what leads Kaiser Fung to write:

*The course is designed from the ground up for online instruction, and it shows. If you have tried other online courses, you will immediately notice the difference in quality.*

Check out the course and let me know what you think — we’re still incorporating feedback.

]]>]]>“McFadden (1974) observed that the logit, probit, and similar discrete-choice models have two interpretations. The first interpretation is that of individual random utility. A decisionmaker draws a utility function at random to evaluate a choice situation. The distribution of choices then reflects the distribution of utility, which is the object of econometric investigation. The second interpretation is that of a population of decision makers. Each individual in the population has a deterministic utility function. The distribution of choices in the population reflects the population distribution of preferences. … One interpretation of this game theoretic approach is that the econometrician confronts a population of random-utility maximizers whose decisions are coupled. These models extend the notion of Nash equilibrium to random- utility choice. The other interpretation views an individual’s shock as known to the individual but not to others in the population (or to the econometrician). In this interpretation, the Brock-Durlauf model is a Bayes-Nash equilibrium of a game with independent types, where the type of individual i is the pair (x_i, e_i). Information is such that the first component of each player i’s type is common knowledge, while the second is known only to player i.” — Blume, Brock, Durlauf & Ioannides. 2011. Identification of Social Interactions. Handbook of Social Economics, Volume 1B.

This struck me as related to some challenges in formulating what one should do — that is, in the “practical reasoning” side of ethics.

One way of getting practical advice out of virtue ethics is to say that one should do what the virtuous person would do in this situation. On its face, this seems right. But there are also some apparent counterexamples. Consider a short-tempered tennis player who has just lost a match.^{2} In this situation, the virtuous person would walk over to his opponent, shake his hand, and say something like “Good match.” But if this player does that, he is likely to become enraged and even assault his victorious opponent. So it seems better for him to walk off the court without attempting any of this — even though this is clearly rude.

The simple advice to do what the virtuous person would do in the present situation is, then, either not right or not so simple. It might be right, but not so simple to implement, if part of “the present situation” is one’s own psychological weaknesses. Aspects of the agent’s psychology — including character flaws — seem to license bad behavior and to remove reasons for taking the “best” actions.

King and other characters in *The Descendents* face this problem, both in the example above and at some other points in the movie. He begins a course of action (at least in part) because this is what the virtuous person would do. But then he is unable to really follow through because he lacks the necessary virtues.^{3} We might take this as a reminder of the ethical value to being humble — to account for our faults — when reasoning about what we ought to do.^{4} It is also a reminder of how frustrating this can be, especially when one can imagine (and might actually be able to) following through on doing what the virtuous person would do.

One way to cope with these weaknesses is to leverage other aspects of one’s situation. We can make public commitments to do the virtuous thing. We can change our environment, sometimes by binding our future selves, like Ulysses, from acting on our vices once we’ve begun our (hopefully) virtuous course of action. Perhaps new mobile technologies will be a substantial help here — helping us intervene in our own lives in this way.

- Perhaps deserved trouble. But this certainly didn’t play a stated role in the reasoning justifying King’s decision to meet him.
- This example is first used by Gary Watson (“Free Agency”, 1975) and put to this use by Michael Smith in his “Internalism” (1995). Smith introduces it as a clear problem for the “example” model of how what a virtuous person would do matters for what we should each do.
- Another reading of some of these events in
*The Descendents*is that these characters actually*want*to do the “bad behaviors”, and they (perhaps unconciously) use their good intentions to justify the course of action that leads to the bad behavior. - Of course, the other side of such humility is being short on self-efficacy.

In writing about experimentation, they report that Hal Varian, Google’s Chief Economist, estimates that Google runs “100-200 experiments on any given day”. This struck me as incredibly low! I would have guessed more like 10,000 or maybe more like 100,000.

The trick of course is how one individuates experiments. Say Google has an automatic procedure whereby each ad has a (small) random set of users who are prevented from seeing it and are shown the next best ad instead. Is this one giant experiment? Or one experiment for each ad?

This is a bit of a silly question.^{3}

But when most people — even statisticians and scientists — think of an experiment in this context, they think of something like Google or Amazon making a particular button bigger. (Maybe somebody thought making *that* button bigger would improve a particular metric.) They likely don’t think of automatically generating an experiment for every button, such that a random sample see that particular button slightly bigger. It’s these latter kinds of procedures that lead to thinking about tens of thousands of experiments.

That’s the real deluge of experiments.

- I don’t know that I would call much of it ‘innovation’. There is some outright innovation, but a lot of that is in the general strategies for using the data. There is much more gained in minor tweaking and optimization of products and services.
- Perhaps they even overstate the power of simple experiments. For example, they do not mention the fact that many times the results these kinds of experiments often change over time, so that what you learned 2 months ago is no longer true.
- Note that two single-factor experiments over the same population with independent random assignment can be regarded as a single experiment with two factors.

But Frege was surely right when he said, “There is no word or sign in language whose function is simply to assert something.” Frege, as we know, set out to rectify matters by inventing such a sign, the turnstile ⊢’ [sometimes called Frege’s ‘judgment stroke’ or ‘assertion sign’]. And here Frege was operating on the basis of a sound principle: if there is a conventional feature of language, it can be made manifest in the symbolism. However, before Frege invented the assertion sign he ought to have asked himself why no such sign existed before. Imagine this: the actor is acting a scene in which there is supposed to be a fire. (Albee’s

Tiny Alice, for example.) It is his role to imitate as persuasively as he can a man who is trying to warn others of a fire. “Fire!” he screams. And perhaps he adds, at the behest of the author, “I mean it! Look at the smoke!” etc. And now a real fire breaks out, and the actor tries vainly to warn the real audience. “Fire!” he screams, “I mean it! Look at the smoke!” etc. If only he had Frege’s assertion sign.It should be obvious that the assertion sign would do no good, for the actor would have used it in the first place, when he was only acting. Similar reasoning should convince us that it is no help to say that the stage, or the proscenium arch, creates a conventional setting that negates the convention of assertion. For if that were so, the acting convention could be put into symbols also; and of course no actor or director would use it. The plight of the actor is always with us. There is no known, agreed upon, publically recognizable convention for making assertions. Or, for that matter, giving orders, asking questions, or making promises. These are all things we do, often successfully, and our success depends in part on our having made public our intention to do them. But it was not thanks to a convention that we succeeded.

^{1}

- Davidson, Donald. (1984). Communication and convention.
*Synthese 59*(1), 3-17.

In statistical inference, a standard example here is the Agresti-Coull confidence interval for a binomial proportion: the “exact” interval from inverting the binomial test is conservative — giving overly wide intervals with more than the advertised coverage — but the standard (approximate) Wald interval is too narrow.^{1} The Agresti-Coull confidence interval, which is a modification of the Wald interval that can be justified on Bayesian grounds, has better performance than either.^{2}

Even knowing this, like many people I suspect, I am a sucker for the “exact” over the approximate. The rest of this post gives another example of “approximate is better than exact” that Art Owen and I recently encountered in our work on bootstrapping big data with multiple dependencies.

The bootstrap is a computational method for estimating the sampling uncertainty of a statistic.^{3} When using bootstrap resampling or bagging, one normally draws observations without replacement from the sample to form a bootstrap replicate. Each replicate then consists of zero or more copies of each observation. If one wants to bootstrap online — that is, one observation at a time — or generally without synchronization costs in a distributed processing setting, machine learning folks have used the Poisson approximation to the binomial. This approximate bootstrap works as follows: for each observation in the sample, take a Poisson(1) draw and include that many of that observation in this replicate.

Since this is a “lossy” approximation, investigators have sometimes considered and advocated “lossless” alternatives (Lee & Clyde, 2004). The Bayesian bootstrap, in which each replicate is a n-dimensional draw from the Dirichlet, can be done exactly online: for each observation, take a Exp(1) draw and use it as the weight for that observation for this replicate.^{4} Being a sucker for methods labeled “lossless” or “exact”, I implemented this method in Hive at Facebook, and used it instead of the already available Poisson method. I even chortled to others, “Now we have an exact version implemented to use instead!”

But is this the best of all possible distributions for bootstrap reweighting? Might there be some other, better distribution (with mean 1 and variance 1)? In particular, what distribution minimizes our uncertainty about the variance of the mean, given the same number of bootstrap replicates?

We examined this question (Owen and Eckles, 2011, section 3.3) and found that the Poisson(1) weights give a sharper estimate of the variance than the Exp(1) weights: *the lossy approximation to the standard resampling bootstrap is better than the exact Bayesian reweighting bootstrap*. Interestingly, both of these are beat by using “double-or-nothing” U{0, 2} weights — that is, something close to half-sampling.^{5} Furthermore, the Poisson(1) and U{0, 2} versions are more general, since they don’t require using weighting (observations can duplicated) and, when using them as weights, they don’t require using floating point numbers.^{6}

Agresti, A. and Coull, B. A. (1998). Approximate Is Better than “Exact” for Interval Estimation of Binomial Proportions. *American Statistician*, 5 (2): 119-126

Efron, B. (1979). Bootstrap methods: Another look at the jackknife. *Annals of Statistics*, 7:1–26.

Hesterberg, T., et al. Bootstrap Methods and Permutation Tests. In: Introduction to the Practice of Statistics.

Lee, H. K. H. and Clyde, M. A. (2004). Lossless online Bayesian bagging. *Journal of Machine Learning Research*, 5:143–151.

Owen, A. B. and Eckles, D. (2011). Bootstrapping data arrays of arbitrary order. http://arxiv.org/abs/1106.2125

Oza, N. (2001). Online bagging and boosting. In *Systems, man and cybernetics, 2005 IEEE international conference on*, volume 3, pages 2340–2345. IEEE.

- The Wald interval also gives zero-width intervals when observations are all either y=1 or y=0.
- That is, it contains the true value closer to 100 * (1 – alpha)% of the time than the others. This example is a favorite of Art Owen’s.
- Hesterberg et al. (PDF) is a good introduction to the bootstrap. Efron (1979) is the first paper on the bootstrap.
- In what sense is this “exact” or “lossless”? This online method is exactly the same as the offline Bayesian bootstrap in which one takes a n-dimensional draw from the Dirichlet. On the other hand, the Poisson(1) method is often seen as an online approximation to the offline bootstrap.
- Why is this? See the paper, but the summary is that U{0, 2} has the lowest kurtosis, and Poisson(1) has lower kurtosis than Exp(1).
- This is especially useful if one is doing factorial weighting, as we do in the paper, where multiplication of weights for different grouping factors is required.