What happens if we lose the prior for sparse representations?

by Sebastian Benthall

Noting this nice paper by Giannone et al., “Economic predictions with big data: The illusion of sparsity.” It concludes:

Summing up, strong prior beliefs favouring low-dimensional models appear to be necessary to support sparse representations. In most cases, the idea that the data are informative enough to identify sparse predictive models might be an illusion.

This is refreshing honesty.

In my experience, most disciplinary social sciences have a strong prior bias towards pithy explanatory theses. In a normal social science paper, what you want is a single research question, a single hypothesis. This thesis expresses the narrative of the paper. It’s what makes the paper compelling.

In mathematical model fitting, the term for such a simply hypothesis is a sparse predictive model. These models will have relatively few independent variables predicting the dependent variable. In machine learning, this sparsity is often accomplished by a regularization step. While generally well-motivate, regularization for sparsity can be done for reasons that are more aesthetic or reflect a stronger prior than is warranted.

A consequence of this preference for sparsity, in my opinion, is the prevalence of literature on power law distributions vs. log normal explanations. (See this note on disorganized heavy tail distributions.) A dense model on a log linear regression will predict a heavy tail dependent variable without great error. But it will be unsatisfying from the perspective of scientific explanation.

What seems to be an open question in the social sciences today is whether the culture of social science will change as a result of the robust statistical analysis of new data sets. As I’ve argued elsewhere (Benthall, 2016), if the culture does change, it will mean that narrative explanation will be less highly valued.

References

Benthall, Sebastian. “Philosophy of computational social science.” Cosmos and History: The Journal of Natural and Social Philosophy 12.2 (2016): 13-30.

Giannone, Domenico, Michele Lenza, and Giorgio E. Primiceri. “Economic predictions with big data: The illusion of sparsity.” (2017).

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