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Computer Age Statistical Inference by Trevor Hastie, Bradley Efron

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1 Algorithms and Inference

Statistics is the science of learning from experience, particularly experience that arrives a little bit at a time: the successes and failures of a new experimental drug, the uncertain measurements of an asteroid’s path toward Earth. It may seem surprising that any one theory can cover such an amorphous target as “learning from experience.” In fact, there are two main statistical theories, Bayesianism and frequentism, whose connections and disagreements animate many of the succeeding chapters.

First, however, we want to discuss a less philosophical, more operational division of labor that applies to both theories: between the algorithmic and inferential aspects of statistical analysis. The distinction begins with the ...

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