data mining: what is all that data telling us? dave dickey ncsu statistics

Data Mining: What is All That Data Telling Us?

Dave Dickey NCSU Statistics

What I know • What “they” can do • How “they” can do it

• What is some particular entity doing ?• How safe is your particular information ?• Is big brother watching me right now ?

What I don’t know

* Data being created at lightning pace* Moore’s law: (doubling / 2 years – transistors on integrated circuits)

Internet “hits”Scanner cardse-mailsIntercepted messagesCredit scoresEnvironmental MonitoringSatellite ImagesWeather DataHealth & Birth Records

So we have some data – now what??

• Predict defaults, dropouts, etc.

• Find buying patterns

• Segment your market

• Detect SPAM (or others)

• Diagnose handwriting

• Cluster

• ANALYZE IT !!!!

Data Mining - What is it?

• Large datasets• Fast methods• Not significance testing• Topics

– Trees (recursive splitting)– Nearest Neighbor– Neural Networks– Clustering– Association Analysis

Trees

• A “divisive” method (splits) • Start with “root node” – all in one group• Get splitting rules• Response often binary• Result is a “tree”• Example: Framingham Heart Study

Recursive Splitting

X1=DebtToIncomeRatio

X2 = Age

Pr{default} =0.007 Pr{default} =0.012

Pr{default} =0.0001

Pr{default} =0.003

Pr{default} =0.006

x x x x x xx x x x x x x xx x x x x x x x xxx x x x x x x x D x x x x x x x x x x x x x x x x x x D x x x x xx x x x D x x x x x x x x x x x x x x x x x D x x x x x x xx x x x x x x x x xD x x x x D xx x x x x x x x x D x x x x x x x x x x xx x x x x x x x x x x x x x xxx x x x x x x x x x x x x x x D x x x xx x x D x x x x x x x x x x x x x x x X x x x x x x x x x x x x x xD x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xDx x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x DD x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x xx x x x x x x x xxx x x D x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x xx D x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x xxx x xx x x x x x x x x x x x x x xxx x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x X x x x x D x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x x x x

x x x x x xx x x x x x x xx x x x x x x x xxx x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x x x x xx x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x xxx x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x DX x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x xx x x D D x x x x x x x x x x x x x xx x x x x x x x x x x x x x x x x x x x x x x x x x x x

Some Actual Data

• Framingham Heart Study

• First Stage Coronary Heart Disease – P{CHD} = Function of:

• Age - no drug yet! • Cholesterol• Systolic BP

Import

Example of a “tree”

All 1615 patients

Split # 1: Age

“terminal node”Systolic BP

How to make splits?

• Which variable to use? • Where to split?

– Cholesterol > ____– Systolic BP > _____

• Goal: Pure “leaves” or “terminal nodes”• Ideal split: Everyone with BP>x has problems,

nobody with BP<x has problems

Where to Split?

• Maximize “dependence” statistically• We use “contingency tables”

95 5

55 45

Heart DiseaseNo Yes

LowBP

HighBP

100

100

DEPENDENT

75 25

75 25

INDEPENDENT

Heart DiseaseNo Yes

Measuring Dependence • Expect 100(150/200)=75 in upper left if

independent (etc. e.g. 100(50/200)=25)

95

(75)

5

(25)

55

(75)

45

(25)

Heart DiseaseNo Yes

LowBP

HighBP

100

100

150 50 200

How far from expectations is “too far” (significant dependence)

2 Test Statistic

95

(75)

5

(25)

55

(75)

45

(25)

LowBP

HighBP

100

100

150 50 200

allcells ected

ectedobserved

exp

)exp( 22

2(400/75)+2(400/25) = 42.67

42.67 - So what?

Use Probability! “P-value”

“Significance Level” (0.05)

Measuring “Worth” of a Split

• P-value is probability of as great as that observed if independence is true.

• (Pr {2>42.67} is 0.000000000064

• P-values all too small to understand.

• Logworth = -log10(p-value) = 10.19

• Best Chi-square max logworth.

Logworth for Age Splits

Age 47 maximizes logworth

How to make splits?

• Which variable to use?

• Where to split?– Cholesterol > ____– Systolic BP > _____

• Idea – Pick BP cutoff to minimize p-value for 2

• What does “signifiance” mean now?

Multiple testing

• 50 different BPs in data, 49 ways to split

• Sunday football highlights always look good!

• If he shoots enough baskets, even 95% free throw shooter will miss.

• Tried 49 splits, each has 5% chance of declaring significance even if there’s no relationship.

Multiple testing

= Pr{ falsely reject hypothesis 1}

= Pr{ falsely reject hypothesis 2}

Pr{ falsely reject one or the other} < 2Desired: 0.05 probabilty or lessSolution: use = 0.05/2Or – compare 2 to 0.05

Multiple testing

• 50 different BPs in data, m=49 ways to split

• Multiply p-value by 49

• Stop splitting if minimum p-value is large (logworth is small).

• For m splits, logworth becomes

-log10(m*p-value)

Other Split Evaluations

• Gini Diversity Index– { E E E E G E G G L G}– Pick 2, Pr{different} =

• 1-Pr{EE}-Pr{GG}-Pr{LL}

• 1- [ 10 + 6 + 0]/45 =29/45=0.64

– { E E G L G E E G L L }• 1-[6+3+3]/45 = 33/45 = 0.73

• MORE DIVERSE, LESS PURE

• Shannon Entropy– Larger more diverse (less pure)

– -i pi log2(pi) {0.5, 0.4, 0.1} 1.36

{0.4, 0.2, 0.3} 1.51

(more diverse)

Goals

• Split if diversity in parent “node” > summed diversities in child nodes

• Observations should be – Homogeneous (not diverse) within leaves– Different between leaves– Leaves should be diverse

• Framingham tree used Gini for splits

Cross validation

• Traditional stats – small dataset, need all observations to estimate parameters of interest.

• Data mining – loads of data, can afford “holdout sample”

• Variation: n-fold cross validation– Randomly divide data into n sets– Estimate on n-1, validate on 1– Repeat n times, using each set as holdout.

Pruning

• Grow bushy tree on the “fit data” • Classify holdout data• Likely farthest out branches do not improve,

possibly hurt fit on holdout data• Prune non-helpful branches. • What is “helpful”? What is good discriminator

criterion?

Goals

• Want diversity in parent “node” > summed diversities in child nodes

• Goal is to reduce diversity within leaves• Goal is to maximize differences between leaves• Use same evaluation criteria as for splits• Costs (profits) may enter the picture for splitting or

evaluation.

Accounting for Costs

• Pardon me (sir, ma’am) can you spare some change?

• Say “sir” to male +$2.00 • Say “ma’am” to female +$5.00• Say “sir” to female -$1.00 (balm for slapped

face)• Say “ma’am” to male -$10.00 (nose splint)

Including Probabilities

True Gender

M

F

Leaf has Pr(M)=.7, Pr(F)=.3. You say:

M F

0.7 (2)

0.3 (-1)

0.7 (-10)

0.3 (5)

Expected profit is 2(0.7)-1(0.3) = $1.10 if I say “sir” Expected profit is -7+1.5 = -$5.50 (a loss) if I say “Ma’am”Weight leaf profits by leaf size (# obsns.) and sumPrune (and split) to maximize profits.

Additional Ideas

• Forests – Draw samples with replacement (bootstrap) and grow multiple trees.

• Random Forests – Randomly sample the “features” (predictors) and build multiple trees.

• Classify new point in each tree then average the probabilities, or take a plurality vote from the trees

* Lift Chart - Go from leaf of most to least response. - Lift is cumulative proportion responding.

Regression Trees• Continuous response (not just class)

• Predicted response constant in regions

Predict 50 Predict 80

Predict 100

Predict 130 Predict

20

X1

X2

{47, 51, 57, 45} 50 = mean

• Predict Pi in cell i (it’s cell mean)

• Yij jth response in cell i.

• Split to minimize i j (Yij-Pi)2

• [sum of squared deviations from cell mean]

Predict 50 Predict 80

Predict 100

Predict 130 Predict

20

{-3, 1, 7, -5}SSq=9+1+49+25 = 84

• Predict Pi in cell i.

• Yij jth response in cell i.

• Split to minimize i j (Yij-Pi)2

Logistic Regression

• Logistic – another classifier

• Older – “tried & true” method

• Predict probability of response from input variables (“Features”)

• Need to insure 0 < probability < 1

Example: Shuttle Missions

• O-rings failed in Challenger disaster• Low temperature• Prior flights “erosion” and “blowby” in O-rings• Feature: Temperature at liftoff• Target: problem (1) - erosion or blowby vs. no

problem (0)

• We can easily “fit” lines• Lines exceed 1 , fall below 0 • Model L as linear in temperature • L = a+b(temp)• Convert: p = eL/(1+eL) =

ea+b(temp)/ (1+ea+b(temp))

Convert

Example: Ignition

• Flame exposure time = X

• Ignited Y=1, did not ignite Y=0– Y=0, X= 3, 5, 9 10 , 13, 16 – Y=1, X = 11, 12 14, 15, 17, 25, 30

• Probability of our data is “Q”

• Q=(1-p)(1-p)(1-p)(1-p)pp(1-p)pp(1-p)ppp

• P’s all different p=f(exposure)

• Find a,b to maximize Q(a,b)

Likelihood function (Q)

-2.6

0.23

IGNITION DATA The LOGISTIC Procedure Analysis of Maximum Likelihood Estimates Standard WaldParameter DF Estimate Error Chi-Square Pr > ChiSqIntercept 1 -2.5879 1.8469 1.9633 0.1612TIME 1 0.2346 0.1502 2.4388 0.1184

Association of Predicted Probabilities and Observed Responses

Percent Concordant 79.2 Somers' D 0.583Percent Discordant 20.8 Gamma 0.583Percent Tied 0.0 Tau-a 0.308Pairs 48 c 0.792

5 right, 4 wrong

4 right, 1 wrong

Example: Framingham• X=age • Y=1 if heart trouble, 0 otherwise

Framingham

The LOGISTIC Procedure

Analysis of Maximum Likelihood Estimates

Standard WaldParameter DF Estimate Error Chi-Square Pr>ChiSq

Intercept 1 -5.4639 0.5563 96.4711 <.0001age 1 0.0630 0.0110 32.6152 <.0001

Neural Networks

• Very flexible functions• “Hidden Layers” • “Multilayer Perceptron”

Logistic function of

Logistic functions

Of data

outputinputs

Arrows represent linear combinations of “basis functions,” e.g. logistics

b1

Example:

Y = a + b1 p1 + b2 p2 + b3 p3

Y = 4 + p1+ 2 p2 - 4 p3

• Should always use holdout sample• Perturb coefficients to optimize fit (fit data)• Eliminate unnecessary arrows using holdout data.

Terms• Train: estimate coefficients• Bias: intercept a in Neural Nets• Weights: coefficients b • Radial Basis Function: Normal density• Score: Predict (usually Y from new Xs)• Activation Function: transformation to target• Supervised Learning: Training data has

response.

Hidden LayerL1 = -1.87 - .27*Age – 0.20*SBP22H11=exp(L1)/(1+exp(L1))

L2 = -20.76 -21.38*H11Pr{first_chd} = exp(L2)/(1+exp(L2))“Activation Function”

Unsupervised Learning

• We have the “features” (predictors)

• We do NOT have the response even on a training data set (UNsupervised)

• Clustering– Agglomerative

• Start with each point separated

– Divisive • Start with all points in one cluster then spilt

Clustering – political (hypothetical)

• 300 people: “mark line to indicate concern”:• <-5> ---------0-------------- <+5>• X1: economy• X2: war in Iraq • X3: health care

• 1st person (2.2 -3.1 0.9)• 2nd person (-1.6 1 0.6)• Etc.

Clusters as Created

As Clustered

Association Analysis

• Market basket analysis – What they’re doing when they scan your “VIP”

card at the grocery– People who buy diapers tend to also buy

_________ (beer?)– Just a matter of accounting but with new

terminology (of course ) – Examples from SAS Appl. DM Techniques, by

Sue Walsh:

Termnilogy

• Baskets: ABC ACD BCD ADE BCE

• Rule Support Confidence • X=>Y Pr{X and Y} Pr{Y|X}• A => D 2/5 2/3• C => A 2/5 2/4• B&C => D 1/5 1/3

Don’t be Fooled!• Lift = Confidence /Expected Confidence if Independent

Checking->

Saving V

No

(1500)

Yes

(8500) (10000)

No 500 3500 4000

Yes 1000 5000 6000

SVG=>CHKG Expect 8500/10000 = 85% if independentObserved Confidence is 5000/6000 = 83%Lift = 83/85 < 1. Savings account holders actually LESS likely than others to have checking account !!!

Summary

• Data mining – a set of fast stat methods for large data sets

• Some new ideas, many old or extensions of old• Some methods:

– Decision Trees– Nearest Neighbor– Neural Nets– Clustering– Association