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jsalvatier comments on The Optimizer's Curse and How to Beat It - Less Wrong

44 Post author: lukeprog 16 September 2011 02:46AM

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Comment author: jsalvatier 16 September 2011 10:13:10PM 13 points [-]

In statistics the solution you describe is called Hierarchical or Multilevel Modeling. You assume that you data is drawn from a set of distributions which have their parameters drawn from another distribution. This automatically shrinks your estimates of the distributions towards the mean. I think it's a pretty useful trick to know and I think it would be good to do a writeup but I think you might need to have a decent grasp of bayesian statistics first.

Comment author: Pagw 14 February 2017 10:05:24AM 2 points [-]

Here's an example, with code, for anyone interested (it's not by me, I add): http://sl8r000.github.io/ab_testing_statistics/use_a_hierarchical_model/