Next week I’ll be starting the second year of my statistics PhD. I’ve learnt a lot from taking the first year classes and studying for the qualifying exams. Some of what I’ve learnt has given me a new perspective on some of my old blog posts. Here are three things that I’ve written about before and I now understand better.
1. The Pi-Lambda Theorem
An early post on this blog was titled “A minimal counterexample in probability theory“. The post was about a theorem from the probability course offered at the Australian National University. The theorem states that if two probability measures agree on a collection of subsets and the collection is closed under finite intersections, then the two probability measures agree on the -algebra generated by the collection. In my post I give an example which shows that you need the collection to be closed under finite intersections. I also show that you need to have at least four points in the space to find such an example.
What I didn’t know then is that the above theorem is really a corollary of Dykin’s theorem. This theorem was proved in my first graduate probability course which was taught by Persi Diaconis. Professor Diaconis kept a running tally of how many times we used the theorem in his course and we got up to at least 10. (For more appearances by Professor Diaconis on this blog see here, here and here).
If I were to write the above post again, I would talk about the theorem and rename the post “The smallest -system”. The example given in my post is really about needing at least four points to find a -system that is not a -algebra.
2. Mallow’s Cp statistic
The very first blog post I wrote was called “Complexity Penalties in Statistical Learning“. I wasn’t sure if I would write a second and so I didn’t set up a WordPress account. I instead put the post on the website LessWrong. I no longer associate myself with the rationality community but posting to LessWrong was straight forward and helped me reach more people.
The post was inspired in two ways by the 2019 AMSI summer school. First, the content is from the statistical learning course I took at the summer school. Second, at the career fair many employers advised us to work on our writing skills. I don’t know if would have started blogging if not for the AMSI Summer School.
I didn’t know it at the time but the blog post is really about Mallow’s Cp statistic. Mallow’s Cp statistic is an estimate of the test error of a regression model fit using ordinary least squares. The Mallow’s Cp is equal to the training error plus a “complexity penalty” which takes into account the number of parameters. In the blog post I talk about model complexity and over-fitting. I also write down and explain Mallow’s Cp in the special case of polynomial regression.
In the summer school course I took, I don’t remember the name Mallow’s Cp being used but I thought it was a great idea and enjoyed writing about it. The next time encountered Mallow’s Cp was in the linear models course I took last fall. I was delighted to see it again and learn how it fit into a bigger picture. More recently, I read Brad Efron’s paper “How Biased is the Apparent Error Rate of a Prediction Rule?“. The paper introduces the idea of “effective degrees of freedom” and expands on the ideas behind the Cp statistic.
Incidentally, enrolment is now open for the 2023 AMSI Summer School! This summer it will be hosted at the University of Melbourne. I encourage any Australia mathematics or statistics students reading this to take a look and apply. I really enjoyed going in both 2019 and 2020. (Also if you click on the above link you can try to spot me in the group photo of everyone wearing read shirts!)
3. Finitely additive probability measures
In “Finitely additive measures” I talk about how hard it is to define a finitely additive measure on the set of natural numbers that is not countably additive. In particular, I talked about needing to use the Hahn — Banach extension theorem to extend the natural density from the collection of sets with density to the collection of all subsets of the natural numbers.
There were a number of homework problems in my first graduate probability course that relate to this post. We proved that the sets with density are not closed under finite unions and we showed that the square free numbers have density .
We also proved that any finite measure defined on an algebra of subsets can be extend to the collection of all subsets. This proof used Zorn’s lemma and the resulting measure is far from unique. The use of Zorn’s lemma relates to the main idea in my blog, that defining an additive probability measure is in some sense non-constructive.
Going forward, I hope to continue publishing at least one new post every month. I look forward to one day writing another post like this when I can look back and reflect on how much I have learnt.