4 ms·

> why you recommend said books. > Sell them to me ok, i will try. 2 books I absolutely love and have read cover to cover several times, solved most of the 10

by dxbydt 4y ago

> why you recommend said books. > Sell them to me ok, i will try. 2 books I absolutely love and have read cover to cover several times, solved most of the 1000+ problems. 1. Inference - Rohatgi 2. Inference - Stapleton Why I recommend them ? The real answer is super long. But the short version is - there are thinkers & there are doers. Basically, the mathematical statistics world has these theory-building Bourbaki type guys who write a LOT, say a LOT, but never get to the fucking point (imho). The opposite view is "math is bunch of tricks. its like chess - more middlegames & endgames you know, higher chance of winning. No real point in learning who originally came up with this particular middle game variation, or why does this opening work etc etc. Just learn the trick & play the game." So that's the eastern (Indian/Chinese) school of thought, which is what I subscribe to. The 2 inference books listed above are essentially grab-bags of tricks. Do this - it works - now try it on these problems - ok next trick...on & on. So I solved the 1000+ problems & now I know lots of these methods that just work. eg. recently i was asked - some vc's are evaluating a startup. their valuations are $1 million, $4 M,$10M, $20M, $50M. what's your evaluation & why ? so i'm thinking - hey isn't this just rohatgi taxicar ? so i quickly said- sum is 85, times 1/5 is 17. Whereas largest observed is 50, times 6/5 is 60, so half is 30. since 50 was max observed, another estimator is half that, ie. 25. if you want doctor's estimate, get rid of 1 and 50, then sum is 34 so times 1/3 is 11.3 so then we have 4 estimators, - the sample mean is 17 million, its the method of moments estimator, clearly unbiased but high mean square error because variance is high. the maximum likelihood estimator is 25 mil, and has smallest variance, but the mse will not be the lowest since it is not unbiased so bias square will add. the 30 mil estimate is also unbiased, but has low variance so it has the lowest mse of the lot. the doctor estimator 11 million is unbiased but high variance and mse is in between. now if you want the absolute lowest mse, i can cook up a 5th estimator which has nonzero bias but mse will be the minimum.... at this point the interviewer interrupts me - you've never seen this problem because we came up with it in our last meeting at our firm. Yet you gave me 4 very good estimators under 2 minutes & want to cook up a 5th one that's even better. And you don't even have a phd. meanwhile i just spoke to an actual phd and asked him this same question, he went on and on for 20 minutes without giving me a single concrete estimator! so that's the thing. rohatgi, stapleton, these are about real world, down & dirty, how to do stuff. how to solve actual problems. whereas the gelman bda, the shao, the schervish, the lehman, the bickel & doksum - these were my prescribed textbooks. imho they are absolute garbage, worse than dirt. after the exam i threw them away. such bullcrap. they go on & on without getting anywhere & have practically zero good worked examples. so that's my 2 cents. i still have the rohatgi & stapleton on my desk. sometimes i tear up when i look at them. they have taught me so, so much!

shanusmagnus 4y ago
I like how you laid this out as a tension between two worldviews. I'm curious: as a seeming master of the "bag of tricks" worldview, do you feel like having fully absorbed so many "tricks" has given you a kind of empirical insight into things? In other words: have the tricks, when crashed against the real world over and over like you describe, oozed into something akin to a larger theoretical sense of things? Or do they remain isolated tricks that you apply when they seem to match? (I wish I could frame this question better, but I don't know this field, sadly.)
- dxbydt 4y ago
  i will unfortunately give you a half-assed response. Because the truth will take up a lot of time & space & is very inflammatory. So here's what I honestly believe - there are only isolated tricks. The ones who sit in judgement of us, like savants, and claim some sort of coalesced mastery of these tricks into some larger theoretical construct, are faking. They are good at faking, so we listen to them. They have better rhetoric, better optics. But beneath it all, it is a grab-bag of tricks. I worked with several professors. When trying to prove something they will start with their favorite trick. One guy was like - okay let me see if i can cauchy schwarz this. I'm like, why ? Why cauchy schwarz always? There are million inequality bounds. Why pester cs all the time ? He actually looked at me curiously then said I don't know I just have some favorite tricks it seems to work! Atleast he was honest. So that's the deal. If you probe deeply there are a few isolated tricks. They seem to work well. In reality we don't know why they work. But they do. Its like why do you not use spoon for spaghetti ? Why fork ? Ok you can cut lines into a spoon and call it a spork, but then you can't drink soup with the spork. So you reach for the spoon if you want to sip soup, use your fork for spaghetti. Don't try to design some universal theory of cookware. Just buy 1 spoon & 1 fork. That's basically all of mathematical statistics. Few tricks. They work. Why ? I mean who gives a fuck. Maybe bickel & doksum do but I personally don't.
  - llaolleh 4y ago
    :). Someone once wrote this. If someone gives you Excalibur, you don't fucking ask where it came from, who made it, etc. Just go use it and have fun.

by dxbydt 4y ago

shanusmagnus 4y ago

I like how you laid this out as a tension between two worldviews. I'm curious: as a seeming master of the "bag of tricks" worldview, do you feel like having fully absorbed so many "tricks" has given you a kind of empirical insight into things? In other words: have the tricks, when crashed against the real world over and over like you describe, oozed into something akin to a larger theoretical sense of things? Or do they remain isolated tricks that you apply when they seem to match? (I wish I could frame this question better, but I don't know this field, sadly.)

dxbydt 4y ago
i will unfortunately give you a half-assed response. Because the truth will take up a lot of time & space & is very inflammatory. So here's what I honestly believe - there are only isolated tricks. The ones who sit in judgement of us, like savants, and claim some sort of coalesced mastery of these tricks into some larger theoretical construct, are faking. They are good at faking, so we listen to them. They have better rhetoric, better optics. But beneath it all, it is a grab-bag of tricks. I worked with several professors. When trying to prove something they will start with their favorite trick. One guy was like - okay let me see if i can cauchy schwarz this. I'm like, why ? Why cauchy schwarz always? There are million inequality bounds. Why pester cs all the time ? He actually looked at me curiously then said I don't know I just have some favorite tricks it seems to work! Atleast he was honest. So that's the deal. If you probe deeply there are a few isolated tricks. They seem to work well. In reality we don't know why they work. But they do. Its like why do you not use spoon for spaghetti ? Why fork ? Ok you can cut lines into a spoon and call it a spork, but then you can't drink soup with the spork. So you reach for the spoon if you want to sip soup, use your fork for spaghetti. Don't try to design some universal theory of cookware. Just buy 1 spoon & 1 fork. That's basically all of mathematical statistics. Few tricks. They work. Why ? I mean who gives a fuck. Maybe bickel & doksum do but I personally don't.
- llaolleh 4y ago
  :). Someone once wrote this. If someone gives you Excalibur, you don't fucking ask where it came from, who made it, etc. Just go use it and have fun.