Re:So You Think You Have a Power Law
by tokenadult on Sunday December 15, 2013 @03:45PM
(#6910780)
The author is quite an interesting thinker, and I like many of his posts. (I agree that the default font set on his website is all wrong, much too small, so I zoomed in with my browser to read his words.) The key claim in his abstract is important and deserves more attention. (The article title in submission to HN should have "2007" included, as this posts dates back that far.)
"Power-law distributions occur in many situations of scientific interest and have significant consequences for our understanding of natural and man-made phenomena. Unfortunately, the empirical detection and characterization of power laws is made difficult by the large fluctuations that occur in the tail of the distribution. In particular, standard methods such as least-squares fitting are known to produce systematically biased estimates of parameters for power-law distributions and should not be used in most circumstances."
The author's take-home points are a list of good practices. He comments that much of the content of whole journals would disappear if authors and reviewers followed these practices.
"1. Lots of distributions give you straight-ish lines on a log-log plot. True, a Gaussian or a Poisson won't, but lots of other things will.
"2. Abusing linear regression makes the baby Gauss cry.
"3. Use maximum likelihood to estimate the scaling exponent. It's fast! The formula is easy! Best of all, it works!
"4. Use goodness of fit to estimate where the scaling region begins.
"5. Use a goodness-of-fit test to check goodness of fit. In particular, if you're looking at the goodness of fit of a distribution, use a statistic meant for distributions, not one for regression curves.
"6. Use Vuong's test to check alternatives, and be prepared for disappointment. Even if you've estimated the parameters of your parameters properly, and the fit is decent, you're not done yet.
"7. Ask yourself whether you really care. Maybe you don't. A lot of the time, we think, all that's genuine important is that the tail is heavy, and it doesn't really matter whether it decays linearly in the log of the variable (power law) or quadratically (log-normal) or something else."
Good stuff. It takes a lot of practice to get statistical analysis right.
"Power-law distributions occur in many situations of scientific interest and have significant consequences for our understanding of natural and man-made phenomena. Unfortunately, the empirical detection and characterization of power laws is made difficult by the large fluctuations that occur in the tail of the distribution. In particular, standard methods such as least-squares fitting are known to produce systematically biased estimates of parameters for power-law distributions and should not be used in most circumstances."
The author's take-home points are a list of good practices. He comments that much of the content of whole journals would disappear if authors and reviewers followed these practices.
"1. Lots of distributions give you straight-ish lines on a log-log plot. True, a Gaussian or a Poisson won't, but lots of other things will.
"2. Abusing linear regression makes the baby Gauss cry.
"3. Use maximum likelihood to estimate the scaling exponent. It's fast! The formula is easy! Best of all, it works!
"4. Use goodness of fit to estimate where the scaling region begins.
"5. Use a goodness-of-fit test to check goodness of fit. In particular, if you're looking at the goodness of fit of a distribution, use a statistic meant for distributions, not one for regression curves.
"6. Use Vuong's test to check alternatives, and be prepared for disappointment. Even if you've estimated the parameters of your parameters properly, and the fit is decent, you're not done yet.
"7. Ask yourself whether you really care. Maybe you don't. A lot of the time, we think, all that's genuine important is that the tail is heavy, and it doesn't really matter whether it decays linearly in the log of the variable (power law) or quadratically (log-normal) or something else."
Good stuff. It takes a lot of practice to get statistical analysis right.