We review the Metropolis algorithm — a simple Markov Chain Monte Carlo (MCMC) sampling method — and its application to estimating posteriors in Bayesian statistics. A simple python example is provided.
Our last post showed how to obtain the least-squares solution for linear regression and discussed the idea of sampling variability in the best estimates for the coefficients. In this post, we continue the discussion about uncertainty in linear regression — both in the estimates of individual linear regression coefficients and the quality of the overall fit.
Specifically, we’ll discuss how to calculate the 95% confidence intervals and p-values from hypothesis tests that are output by many statistical packages like python’s statsmodels or R. An example with code is provided at the end.
We review classical linear regression using vector-matrix notation. In particular, we derive a) the least-squares solution, b) the fit’s coefficient covariance matrix — showing that the coefficient estimates are most precise along directions that have been sampled over a large range of values (the high variance directions, a la PCA), and c) an unbiased estimate for the underlying sample variance (assuming normal sample variance in this last case). We then review how these last two results can be used to provide confidence intervals / hypothesis tests for the coefficient estimates. Finally, we show that similar results follow from a Bayesian approach.
Last edited July 23, 2016.
Two microphones are placed in a room where two conversations are taking place simultaneously. Given these two recordings, can one “remix” them in some prescribed way to isolate the individual conversations? Yes! In this post, we review one simple approach to solving this type of problem, Independent Component Analysis (ICA). We share an ipython document implementing ICA and link to a youtube video illustrating its application to audio de-mixing.
We review the two essentials of principal component analysis (“PCA”): 1) The principal components of a set of data points are the eigenvectors of the correlation matrix of these points in feature space. 2) Projecting the data onto the subspace spanned by the first $k$ of these — listed in descending eigenvalue order — provides the best possible $k$-dimensional approximation to the data, in the sense of captured variance.
To whet your appetite for support vector machines, here’s a quote from machine learning researcher Andrew Ng:
“SVMs are among the best (and many believe are indeed the best) ‘off-the-shelf’ supervised learning algorithms.”
Professor Ng covers SVMs in his excellent Machine Learning MOOC, a gateway for many into the realm of data science, but leaves out some details, motivating us to put together some notes here to answer the question:
“What are the support vectors in support vector machines?”
This will be the first of a series of short posts relating to subject matter discussed in the text, “An Introduction to Statistical Learning”. This is an interesting read, but it often skips over statement proofs — that’s where this series of posts comes in! Here, I consider the content of Section 5.1.2: This gives a lightning-quick “short cut” method for evaluating a regression’s leave-one-out cross-validation error. The method is applicable to any least-squares linear fit.
Mean shift clustering
Mean shift clustering is a general non-parametric cluster finding procedure — introduced by Fukunaga and Hostetler , and popular within the computer vision field. Nicely, and in contrast to the more-well-known K-means clustering algorithm, the output of mean shift does not depend on any explicit assumptions on the shape of the point distribution, the number of clusters, or any form of random initialization.
This post contains our crib notes on the basics of decision trees and forests. We first discuss the construction of individual trees, and then introduce random and boosted forests. We also discuss efficient implementations of greedy tree construction algorithms, showing that a single tree can be constructed in $O(k \times n \log n)$ time, given $n$ training examples having $k$ features each. We provide exercises on interesting related points and an appendix containing relevant python/sk-learn function calls.