DuncanS comments on Open Thread, August 2010 - Less Wrong
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I think some of the statistical fallacies that most people fall for are quite high up the list.
One such is the "What a coincidence!" fallacy. People notice that some unlikely event has occurred, and wonder how many millions to one against this event must have been - and yet it actually happenned ! Surely this means that my life is influenced by some supernatural influence!
The typical mistake is to simply calculate the likelihood of the occurrence of the particular event that occurred. Nothing wrong with that, but one should also compare that number against the whole basket of other possible unlikely events that you would have noticed if they'd happenned (of which there are surely millions), and all the possible occasions where all these unlikely events could have also occurred. When you do that, you discover that the likelihood of some unlikely thing happenning is quite high - which is in accordance with our experience that unlikely events do actually happen.
Another way of looking at it is that non-notable unlikely events happen all the time. Look, that particular car just passed me at exactly 2pm ! Most are not noticable. But sometimes we notice that a particular unlikely event just occurred, and of course it causes us to sit up and take notice. The question is how many other unlikely events you would also have noticed.
The key rational skill here is noticing the actual size of the set of unlikely things that might have happenned, and would have caught our attention if they had.