andrew_gelman_stats andrew_gelman_stats-2011 andrew_gelman_stats-2011-1052 knowledge-graph by maker-knowledge-mining
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Introduction: Kent Osband, author of “Pandora’s Risk: Uncertainty at the Core of Finance,” sent along this paper : Fluids are turbulent when tiny differences in space or time make for gross differences in behavior. The mathematical signature of turbulence is an endless moment or cumulant hierarchy. Bayesian tracking of continuous-time processes turns out to have a similar mathematical structure. As a result, tiny doubts about regime change or tiny errors in estimation or calculation are prone under stress to balloon into gross differences of opinion. In effect, reasonable people are bound to disagree. This finding has profound implications for our understanding of financial markets and other instruments of social learning. In particular it explains forecast degradation, frequent trading, excess volatility, and GARCH behavior without imputing widespread irrationality. Rational learning makes markets turbulent. I have not tried to evaluate Osband’s argument but the general idea is very appealin
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1 Kent Osband, author of “Pandora’s Risk: Uncertainty at the Core of Finance,” sent along this paper : Fluids are turbulent when tiny differences in space or time make for gross differences in behavior. [sent-1, score-1.092]
2 The mathematical signature of turbulence is an endless moment or cumulant hierarchy. [sent-2, score-0.67]
3 Bayesian tracking of continuous-time processes turns out to have a similar mathematical structure. [sent-3, score-0.46]
4 As a result, tiny doubts about regime change or tiny errors in estimation or calculation are prone under stress to balloon into gross differences of opinion. [sent-4, score-1.919]
5 This finding has profound implications for our understanding of financial markets and other instruments of social learning. [sent-6, score-0.691]
6 In particular it explains forecast degradation, frequent trading, excess volatility, and GARCH behavior without imputing widespread irrationality. [sent-7, score-0.744]
7 I have not tried to evaluate Osband’s argument but the general idea is very appealing to me, and I hope that people with more knowledge than I will look into this. [sent-9, score-0.263]
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same-blog 1 0.99999994 1052 andrew gelman stats-2011-12-11-Rational Turbulence
Introduction: Kent Osband, author of “Pandora’s Risk: Uncertainty at the Core of Finance,” sent along this paper : Fluids are turbulent when tiny differences in space or time make for gross differences in behavior. The mathematical signature of turbulence is an endless moment or cumulant hierarchy. Bayesian tracking of continuous-time processes turns out to have a similar mathematical structure. As a result, tiny doubts about regime change or tiny errors in estimation or calculation are prone under stress to balloon into gross differences of opinion. In effect, reasonable people are bound to disagree. This finding has profound implications for our understanding of financial markets and other instruments of social learning. In particular it explains forecast degradation, frequent trading, excess volatility, and GARCH behavior without imputing widespread irrationality. Rational learning makes markets turbulent. I have not tried to evaluate Osband’s argument but the general idea is very appealin
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Introduction: Kent Osband writes: I just read your article The holes in my philosophy of Bayesian data analysis . I agree on the importance of what you flagged as “comparable incoherence in all other statistical philosophies”. The problem arises when a string of unexpected observations persuades that one’s original structural hypothesis (which might be viewed as a parameter describing the type of statistical relationship) was false. However, I would phrase this more positively. Your Bayesian prior actually cedes alternative structural hypotheses, albeit with tiny epsilon weights. Otherwise you would never change your mind. However, these epsilons are so difficult to measure, and small differences can have such a significant impact on speed of adjustment (as in the example in Chapter 7 of Pandora’s Risk), that effectively we all look incoherent. This is a prime example of rational turbulence. Rational turbulence can arise even without a structural break. Any time new evidence arrives that
3 0.081934214 692 andrew gelman stats-2011-05-03-“Rationality” reinforces, does not compete with, other models of behavior
Introduction: John Sides followed up on a discussion of his earlier claim that political independents vote for president in a reasonable way based on economic performance. John’s original post led to the amazing claim by New Republic writer Jonathan Chait that John wouldn’t “even want to be friends with anybody who” voted in this manner. I’ve been sensitive to discussions of rationality and voting ever since Aaron Edlin, Noah Kaplan, and I wrote our article on voting as a rational choice: why and how people vote to improve the well-being of others. Models of rationality are controversial In politics, just as they are in other fields ranging from economics to criminology. On one side you have people trying to argue that all behavior is rational, from lottery playing to drug addiction to engaging in email with exiled Nigerian royalty. Probably the only behavior that nobody has yet to claim is rational is blogging, but I bet that’s coming too. From the other direction, lots of people poi
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Introduction: Blogger Echidne pointed me to a recent article , “The Distance Between Mars and Venus: Measuring Global Sex Differences in Personality,” by Marco Del Giudice, Tom Booth, and Paul Irwing, who find: Sex differences in personality are believed to be comparatively small. However, research in this area has suffered from significant methodological limitations. We advance a set of guidelines for overcoming those limitations: (a) measure personality with a higher resolution than that afforded by the Big Five; (b) estimate sex differences on latent factors; and (c) assess global sex differences with multivariate effect sizes. . . . We found a global effect size D = 2.71, corresponding to an overlap of only 10% between the male and female distributions. Even excluding the factor showing the largest univariate ES [effect size], the global effect size was D = 1.71 (24% overlap). Echidne quotes a news article in which one of the study’s authors going overboard: “Psychologically, men a
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Introduction: Nowadays “Bayesian” is often taken to be a synonym for rationality, and I can see how this can irritate thoughtful philosophers and statisticians alike: To start with, lots of rational thinking—even lots of rational statistical inference—does not occur within the Bayesian formalism. And, to look at it from the other direction, lots of self-proclaimed Bayesian inference hardly seems rational at all. And in what way is “subjective probability” a model for rational scientific inquiry? On the contrary, subjectivity and rationality are in many ways opposites! [emphasis added] The goal of this paper is to break the link between Bayesian modeling (good, in my opinion) and subjectivity (bad). From this perspective, the irritation of falsificationists regarding exaggerated claims of Bayesian rationality are my ally. . . . See here for the full article, to appear in the journal Rationality, Markets and Morals.
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Introduction: Kent Osband, author of “Pandora’s Risk: Uncertainty at the Core of Finance,” sent along this paper : Fluids are turbulent when tiny differences in space or time make for gross differences in behavior. The mathematical signature of turbulence is an endless moment or cumulant hierarchy. Bayesian tracking of continuous-time processes turns out to have a similar mathematical structure. As a result, tiny doubts about regime change or tiny errors in estimation or calculation are prone under stress to balloon into gross differences of opinion. In effect, reasonable people are bound to disagree. This finding has profound implications for our understanding of financial markets and other instruments of social learning. In particular it explains forecast degradation, frequent trading, excess volatility, and GARCH behavior without imputing widespread irrationality. Rational learning makes markets turbulent. I have not tried to evaluate Osband’s argument but the general idea is very appealin
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Introduction: According to a New York Times article , cognitive scientists Hugo Mercier and Dan Sperber have a new theory about rational argument: humans didn’t develop it in order to learn about the world, we developed it in order to win arguments with other people. “It was a purely social phenomenon. It evolved to help us convince others and to be careful when others try to convince us.” Based on the NYT article, it seems that Mercier and Sperber are basically flipping around the traditional argument, which is that humans learned to reason about the world, albeit imperfectly, and learned to use language to convey that reasoning to others. These guys would suggest that it’s the other way around: we learned to argue with others, and this has gradually led to the ability to actually make (and recognize) sound arguments, but only indirectly. The article says “”At least in some cultural contexts, this results in a kind of arms race towards greater sophistication in the production and evaluation o
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Introduction: Ole Rogeberg sends in this: and writes: No idea if this is amusing to non-economists, but I tried my hand at the xtranormal-trend. It’s an attempt to spoof the many standard “incantations” I’ve encountered over the years from economists who don’t want to agree that rational addiction theory lacks justification for some of the claims it makes. More specifically, the claims that the theory can be used to conduct welfare analysis of alternative policies. See here (scroll to Rational Addiction) and here for background.
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Introduction: Philosopher L. A. Paul and sociologist Kieran Healy write : Choosing to have a child involves a leap of faith, not a carefully calibrated rational choice. When surprising results surface about the dissatisfaction many parents experience, telling yourself that you knew it wouldn’t be that way for you is simply a rationalization. The same is true if you tell yourself you know you’re happier not being a parent. The standard story of parenthood says it’s a deeply fulfilling event that is like nothing else you’ve ever experienced, and that you should carefully weigh what it will be like before choosing to do it. But in reality you can’t have it both ways. I disagree that you can’t have it both ways, for three reasons: 1. Many potential parents do have an idea of what it will be like to be a parent, having participated in child care as an older sibling, aunt, or uncle. 2. The decision of whether to have a child occurs many times: the decision of whether to have a second child
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Introduction: Ossama Hamed writes in with a new dynamic graphing software: I have the pleasure to brief you on our Data Visualization software “Trend Compass”. TC is a new concept in viewing statistics and trends in an animated way by displaying in one chart 5 axis (X, Y, Time, Bubble size & Bubble color) instead of just the traditional X and Y axis. . . .
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Introduction: Kent Osband, author of “Pandora’s Risk: Uncertainty at the Core of Finance,” sent along this paper : Fluids are turbulent when tiny differences in space or time make for gross differences in behavior. The mathematical signature of turbulence is an endless moment or cumulant hierarchy. Bayesian tracking of continuous-time processes turns out to have a similar mathematical structure. As a result, tiny doubts about regime change or tiny errors in estimation or calculation are prone under stress to balloon into gross differences of opinion. In effect, reasonable people are bound to disagree. This finding has profound implications for our understanding of financial markets and other instruments of social learning. In particular it explains forecast degradation, frequent trading, excess volatility, and GARCH behavior without imputing widespread irrationality. Rational learning makes markets turbulent. I have not tried to evaluate Osband’s argument but the general idea is very appealin
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Introduction: The National Climatic Data Center has tentatively announced that 2010 is, get this, “tied” for warmest on record. Presumably they mean it’s tied to the precision that they quote (1.12 F above the 20th-century average). The uncertainty in the measurements, as well as some fuzziness about exactly what is being measured (how much of the atmosphere, and the oceans) makes these global-average things really suspect. For instance, if there’s more oceanic turnover one year, that can warm the deep ocean but cool the shallow ocean and atmosphere, so even though the heat content of the atmosphere-ocean system goes up, some of these “global-average” estimates can go down. The reverse can happen too. And of course there are various sources of natural variability that are not, these days, what most people are most interested in. So everybody who knows about the climate professes to hate the emphasis on climate records. And yet, they’re irresistible. I’m sure we’ll see the usual clamor of som
4 0.93990123 1250 andrew gelman stats-2012-04-07-Hangman tips
Introduction: Jeff pointed me to this article by Nick Berry. It’s kind of fun but of course if you know your opponent will be following this strategy you can figure out how to outwit it. Also, Berry writes that ETAOIN SHRDLU CMFWYP VBGKQJ XZ is the “ordering of letter frequency in English language.” Indeed this is the conventional ordering but nobody thinks it’s right anymore. See here (with further discussion here ). I wonder what corpus he’s using. P.S. Klutz was my personal standby.
Introduction: As I wrote a couple years ago: Even though statistical analysis has demonstrated that presidential elections are predictable given economic conditions and previous votes in the states . . . it certainly doesn’t mean that every election can be accurately predicted ahead of time. Presidential general election campaigns have several distinct features that distinguish them from most other elections: 1. Two major candidates; 2. The candidates clearly differ in their political ideologies and in their positions on economic issues; 3. The two sides have roughly equal financial and organizational resources; 4. The current election is the latest in a long series of similar contests (every four years); 5. A long campaign, giving candidates a long time to present their case and giving voters a long time to make up their minds. Other elections look different. . . . Or, as I said in reference to the current NYC mayoral election: Et selon Andrew Gelman, expert de l’universi
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