Robyn Dawes (1979) examined decision making in applied settings, showing that simple models with unit weights often outperformed human experts.
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In fact, the type I error rate tends to be lower than the nominal level when outliers are present, and there is often a dramatic increase in the type II error rate.
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Although it is sometimes claimed that least squares (or classical statistical methods in general) are robust, they are only robust in the sense that the type I error rate does not increase under violations of the model.
regression | Regression analysis | Past life regression | Logistic regression | logistic regression |