Here I will compile some known issues that the interaction between Mathjax and markdown.
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Conventional wisdom in Data Science/Statistical Learning tells us that when we try to fit a model that is able to learn from our data and generalize what it learned to unseen data, we must keep in mind the bias/variance trade-off. This means that as we increase the complexity of our models (let us say, the number of learnable parameters), it is more likely that they will just memorize the data and will not be able to generalize well to unseen data. On the other hand, if we keep the complexity low, our models will not be able to learn too much from our data and will not do well either. We are told to find the sweet spot in the middle. But is this paradigm about to change? In this article we review new developments that suggest that this might be the case.
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The situation is this: you have been given data, with several variables $x_1,\dots,x_d$ and a response $y$ that we want to predict using such variables. You perform some basic statistical analysis on your variables, see their averages, ranges, distribution. Then you look at the correlation between these variables, and find that there is some strong correlation between some of them. You decide to perform principal components analysis (PCA) to reduce the dimension of your features to $w_1,\dots,w_m$, with $m < d$. Now you fit your model, and you find that it gives terrible results, even though your PCA variables are capable of explaining most of the variance of the features. What went wrong?
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25 minute read
In previous entries (here and here we introduced and discussed the basic elements of Extreme Value Theory (EVT), such as the extreme value distributions, the generalized extreme value distribution, saw examples of such distribution, as well as simulated data and their corresponding fits. In this entry we get our hands on real data and see how we can make some inference using EVT. In particular, we focus on Maximum Likelihood methods for parameter estimation of a temperature dataset from my home city, Santiago de Chile.