identification (check if, given a new parameterization, your model’s predictions change)
estimation (use the model to produce estimates)
evaluation (check the model; does the estimate match reality)
respecification (redo the model or try other models)
interpretation
Model comparison and exploratory data analysis
When presented with data or a theory about how data is created, what should we do?
Explore the data with few preconceptions
look for the patterns
Problem: this might bias us if the patterns are just noise
Explore vs. confirm
Confirm: verify data support/reject hypothesis
Hard to draw a line (Hullman and Gelman, 2021)
Better intuition: explore means comparing data (typically visually) to a pseudo-statistical model (our prior).
Only then do we create a more rigorous statistical model and compare alternatives.
Types of tools
Data miners, that tell us what is in the data and build a model: nearest neighbors, decision trees, deep learners
Optimizers, that tell us what to do, specifically, how to do something simple that has the biggest positive impact: genetic algorithms, heuristic search, etc.