Introduction

Update, 2019-01-07: I am pleased to say that the online media article that I complained about in Sec 1 below has now been amended by its author(s), to correct the false attributions.  I am grateful to Chris Parr for helping to sort this out.

TIME SERIES ANALYSIS

Bootstrap sampling techniques are very appealing, as they don’t require knowing much about statistics and opaque formulas. Instead, all one needs to do is resample the given data many times, and calculate the desired statistics. Therefore, bootstrapping has been promoted as an easy way of modelling uncertainty to hackers who don’t have much statistical knowledge. For example, the main thesis of the excellent Statistics for Hackers talk by Jake VanderPlas is: “If you can write a for-loop, you can do statistics”. Similar ground was covered by Erik Bernhardsson in The Hacker’s Guide to Uncertainty Estimates, which provides more use cases for bootstrapping (with code examples). However, I’ve learned in the past few weeks that there are quite a few pitfalls in bootstrapping. Much of what I’ve learned is summarised in a paper titled What Teachers Should Know about the Bootstrap: Resampling in the Undergraduate Statistics Curriculum by Tim Hesterberg. I doubt that many hackers would be motivated to read a paper with such a title, so my goal with this post is to make some of my discoveries more accessible to a wider audience. To learn more about the issues raised in this post, it’s worth reading Hesterberg’s paper and other linked resources.

1. Basic Statistics

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Descriptive Statistics