On page 5-5 (section 5.1.1) of the BRR notes one bullet point says:
if the data distribution is asymmetric, the SD is not independent of the mean (so the t distribution does not hold) and the SD is not a good dispersion measure
As far as I’m aware, the normal distribution is the only distribution where the mean is independent of the variance (see Lukacs (1942)). This fact even characterizes the normal distribution.
In the light of this I have a question:
- What’s the relationship between symmetry, independence of mean and SD/variance and the adequateness of the SD as a dispersion measure?
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Good question, and thanks for the point about the characterization of the normal distribution. I’ll answer the easy part. I don’t think the SD is a good dispersion measure for asymmetric distributions in general. I’d use Gini’s mean difference and quartiles.
Thanks for the answer. I agree that Gini’s mean difference is very appealing because it has a very intuitive interpretation.
Through the usual links, I can see a “Session 4”, but this only gives a download file option-- is there no longer replay through the private YouTube link?
Sorry about that. A couple of days ago your name didn’t pop up on my tablet; now I see it. I’ll edit these comments out shortly.
I really wish I could have had this brief video on basic statistical inference years ago. I’m quite thankful for you sharing your expertise so liberally.
Edit: I will try to rephrase my question. If you still deem it off topic, I will delete and start another thread on it if you wish me to do so.
From the 19:00 - 20:40 in the video, you discuss the problems with 2-stage testing (ie. normality test prior to t-test), as an ineffective way to deal with departures from the assumption of normality. You point out that non-parametric tests are in most common scenarios more powerful than the naive, textbook versions of the t-test, and when they are not, this loss of efficiency is minor. This point is often missed in the literature I’ve come across.
You then state “If you really thought the data might come from a non-normal distribution, you should use the non-parametric test straight away.”
While I understand the logic behind the recommendation (I came to a similar conclusion after much study), other statisticians I’ve communicated with would disagree.
They would point out that while the naive, textbook versions of the t-test might not be best, robust variants (trimmed, Windsorized, weighted means, etc.) retain the advantages of the classical, parametric approach.
You later point out that the Bayesian version of the t-test is inherently robust, if one insists on a parametric point of view.
Ignoring Likelihood methods, this leads to 3 possible alternatives for the data analyst:
- Frequentist nonparametric methods
- Frequentist robust parametric methods
- Bayesian parametric methods
Are there techniques from Frequentist robust methods that you find worthwhile? Or do you essentially perform all of your parametric analyses within the Bayesian framework, and then use nonparametrics when you need to use the classical frequentist approach?
Your insight is always appreciated.
That seems to be a different topic. See if you want to open a new one.
Same issue here - I cannot open the .mkv file
VLC Media player is a free program that played it for me.
Figured that out, but now to find someone with admin rights to my machine to download it