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- Overfitting is your worst enemy
- Train, Test (Quiz), Validate
- Out-of-sample in the real world is subtle
- new people, products, words, time periods, countries, …
- Loss functions
- L2 vs. L1 vs. L0 vs. cost
- Classification problems often have asymmetric costs
- precision/recall, sensitivity/specificity, ROC
- Feature generation is critical
- Think about the problem!!
- How might you transform the features?
- Do you want a scale-invariant method or not?
- What else could you measure?
- Is semi-supervised learning possible?
- Are there surrogate labels you might use?
- Feature Blocks
- Different feature sets need different regularization
- One solution: block-stagewise regression
- Ensemble methods
- Combinations of multiple methods are almost always the most accurate
- Averaging methods (or experts)
- equal weighting
- {$ \hat{y} = (1/k) \sum_k \hat{y}_k$}
- inverse variance-based weighting
- {$ \hat{y} = (\sum_k \hat{y}_k / \sigma_k^2 ) /( \sum_k 1/ \sigma_k^2)$}
- regression-based weighting
- {$ \hat{y} = \sum_k w_k \hat{y}_k$}
- Boosting
- Random Forests
- Missing data
- Missing at random (MAR) or not requires different handling
- Imputation work well for MAR, but most data are not MAR, so it is best to add a new variable which indicates whether or not the feature is missing.
- Explanation/Insight is often important
- Look at the data!
- posts, images scoring highest in some feature or outcome
- error analysis
- variable importance
- How “important” is each feature for the prediction?
- visualization: word clouds, PCA, MDS
- MDS: given an {$n x n$} matrix of distances between points, find a new (usually 2-D) representation of each of the points that as closely as possible preserves that distance matrix
- Correlation is not causality?
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