# Big Data Analysis. Matt Taddy, University of Chicago Booth School of Business faculty.chicagobooth.edu/matt.taddy/teaching

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1 Big Data Analysis Matt Taddy, University of Chicago Booth School of Business faculty.chicagobooth.edu/matt.taddy/teaching

2 Outline What is [good] data mining? Discovery without overfit. For most of today, it is variable selection in high dimensions. Three ingredients to model building: Model metrics: False Discovery proportion, Out-of-sample deviance, model probabilities. Estimation of these metrics: FD Rate control, n-fold cross validation, and information criteria. Building sets of candidate models: p-value cut-offs, stepwise regression, regularization paths. If there is time we can discuss factor models and PCR. 1

3 An example: Comscore web data Detailed information about browsing and purchasing behavior. 100k households, 60k where any money was spent online. I ve extracted info for the 8k websites viewed by at least 5%. Why do we care? Predict consumption from browser history. e.g., to control for base-level spending, say, in estimating advertising effectiveness. You ll see browser history of users when they land, but likely not what they have bought. Thus predicting one from the other is key. Potential regressions: p(\$ > 0 x) or E[log \$ \$ > 0, x]. x is just time spent on different domains. It could also include text or images on those websites or generated by the user (facebook) or their friends... data dimension gets huge fast. 2

4 DM is discovering patterns in high dimensional data Data is usually big in both the number of observations ( n ) and in the number of variables ( p ), but any p n counts. In scientific applications, we want to summarize HD data in order to relate it to structural models of interest. interpretable variables or factors, causal inference. We also want to predict! If things don t change too much... sparse or low-dimensional bases, ensemble learning. The settings overlap and have one goal: Dimension Reduction. 3

5 Model Building: Prediction vs Inference In some sense it is all about prediction. Predictive modeling to forecast y x where both are drawn from some joint p(y, x). Causal modeling to forecast y d, x when d moves but x is held constant. In the former, DR is in the direction of y. In the latter, DR is in the direction of specific parameters in structural models. You need to walk before you can run: good prediction is a pre-req for causal inference. For example, one controls for x by building predictive each of y x and d x. Everything requires a different approach when n p are big. 4

6 A Fancy Plot: Monthly Stock Returns Monthly returns for Returns Month 30 stocks, with the S&P 500 index in bold. But what insight do we really gain? 5

7 A Powerful Plot: S&P Market Model Regression CAPM regresses returns on the market : R α + βm. Market CAPM alpha KO BA AXP CAT ENE ALD S EK GMMCD GE AA CHV PG UTX DD DIS XON MMMGT IBM JPM JNJ IP MO MRK WMT HWP UK TRV beta CAPM is great predicitive DM and, with factor interpretation through the efficient market story, it is also a structural model. 6

8 Model and Variable Selection DM is the discovery of patterns in high dimensions. Good DM is on constant guard against false discovery. False Discovery = Overfit: you model idiosynchratic noise and the resulting predictor does very poorly on new data. The search for useful real patterns is called model building. In linear models, this is a question of variable selection. Given E[y x] = f(x β), which β j are nonzero? Linear models dominate economics and we focus on variable selection. Since x can include arbitrary input transformations and interactions, this is less limiting than it might seem. 7

9 All there is to know about linear models The model is always E[y x] = f(xβ). Gaussian (linear): y N(xβ, σ 2 ). Binomial (logistic): p(y = 1) = e xβ /(1 + e xβ ). Poisson (log): E[y] = var(y) = exp[x β]. β is commonly fit to maximize LHD minimize deviance. The likelihood (LHD) is p(y 1 x 1 ) p(y 2 x 2 ) p(y n x n ). The deviance at ˆβ is 2log(saturatedLHD) - 2 loglhd( ˆβ). Fit is summarized by R 2 = 1 dev( ˆβ)/dev(β = 0). EG, linear regression deviance is the sum of squares and R 2 = 1 SSE/SST is the proportion of variance explained. In DM the only R 2 we ever care about is out-of-sample R 2. 8

10 Semiconductor Manufacturing Processes Very complicated operation Little margin for error. Hundreds of diagnostics Useful or debilitating? We want to focus reporting and better predict failures. x is 200 input signals, y has 100/1500 failures. Logistic regression for failure of chip i is p i = p(fail i x i ) = e α+x iβ /(1 + e α+x iβ ) The x ij inputs here are actually orthogonal: they are the first 200 Principal Component directions from an even bigger set. 9

11 Model fit and choice for the semiconductors In-sample (IS) R 2 (i.e., the thing ˆβ was fit to maximize) is 0.56 for the full regression model (using all 200 signals). An alternative cut model uses only the 25 signals of highest absolute correlation with fail. IS R 2 for this model is An out-of-sample (OOS) experiment split the data into 10 random subsets ( folds ). Do 10x: fit model ˆβ using only 9/10 of data, and record R 2 on the left-out subset. These OOS R 2 give us a sense of how well each model can predict data that it has not already seen. 10

12 Out-of-Sample prediction for semiconductor failure R full cut model We ve gained OOS predictive accuracy by dropping variables. The full model is very poor. It is overfit and worse than ȳ. Negative R2 are more common than you might expect. Cut model has mean OOS R2 of 0.12, about 1/2 in-sample R2. 11

13 Our standard tool to avoid false discovery is hypothesis testing. Hypothesis Testing: a one-at-a-time procedure. Recall: p-value is probability of getting a test statistic farther into the distribution tail than what you observe: P (Z > z). Testing procedure: Choose a cut-off α for your p-value p, and conclude significance (e.g., variable association) for p < α. This is justified as giving only α probability of a false-positive. For example, in regression, ˆβ 0 only if its p-value is less than the accepted risk of a false discovery for each coefficient. 12

14 Contingency Tables: discovering association / testing independence Factor on factor comparisons in a contingency table Belief in an Afterlife Gender Yes No/Unsure Females Males NORC: 1998 General Social Survey This tabulates cross-classification of two factors. If two factors are independent, then any level of one should have the same probability for each level of the other factor. 13

15 Review: Pearson chi-squared tests for independence Consider a table with i = 1...I rows and j = 1...J columns. If the two factors are independent, expected cell counts are E ij = row.total i column.total j /N. and the statistic (N ij E ij ) 2 Z = i j E ij has χ 2 distribution with df = (I 1)(J 1) degrees of freedom. The continuity approximation that requires E ij 5ish. Some software make small changes, but this is the basic formula. 14

16 Independence of Sex and the Afterlife z = ( ) ( ) ( ) (104 98) dchisq(z, 1) z = 0.82 qchisq(.95,1) No association between gender and afterlife beliefs. z 15

17 The problem of multiplicity α is for a single test. If you repeat many tests, about α 100% of the null tests should erroneously pop up as significant. Things are especially dire with rare signals: Suppose that 5 of 100 regression coefficients are actually influential, and that you find all of them significant. Test the rest of them at α = 0.05: Since you reject H 0 for 5% of the useless 95 variables, 4.75/ % of significant tests are false discoveries! This is called the False Discovery Proportion (FDP). For fixed α it gets smaller with 1-N 0 /N (true non-null rate). Many examples have << 1% useful x s (genes, sites, words). 16

18 The False Discovery Rate Instead of focusing on each test, we ll consider FD Proportion = # false positives # tests called significant FDP is a property of our fitted model. We can t know it. But we can derive its expectation under some conditions. This is called the False Discovery Rate, FDR = E[FDP]. It is the multivariate (aggregate) analogue of α. 17

19 False Discovery Rate control The Benjamini + Hochberg (BH) algorithm: Rank your N p-values, smallest to largest, p (1)... p (N). Choose the q-value q, where you want FDR q. Set the p-value cut-off as p = max { p (k) : p (k) q k N }. If your rejection region is p-values > p, then FDR q. BH assumes independence between tests. This condition can be weakened (only pos corr.) or replaced: see empirical Bayes book by Efron, full Bayes papers by Storey. Regardless, it s an issue for anything based on marginal p-vals. 18

20 Motivating FDR control --0 We... c..--. rlc.r +!... """-... ".::; sc... f.,_ ""' I \. \.l.. ll) lt\... ( 1\ r-o..f\ '-' 3. q is the slope of a shallower line defining our rejection region. AJu ( f 19

21 Demonstrating FDR control Given our independence assumption the proof is simple. 1J.: I o +-! IJ t -t... tj :: 0 tf } + -./) tj II. I jj '. ( «-) :_., f,/.._{ r v.l vl I r(«.) ; #Jv /(.;; f t.-{ A t:-u /-. 0 r. F e u; v- { + f,. 13 U ; <:, r(v:) I' ( rr L LN ""-.. ( e[-t"'-%] r.r : ".0. - "?..,_,.},tl r v-.l,. ) 20

22 GWAS: genome-wide association studies Given our weak understanding of the mechanisms, one tactic is to scan large DNA sequences for association with disease. Single-nucleotide polymorphisms (SNPs) are paired DNA locations that vary across chromosomes. The allele that occurs most often is major (A), and the other is minor (a). Question: Which variants are associated with increased risk? Then investigate why + how. 21

23 Allele Association A common SNP summary is Minor Allele Frequency (MAF): AA 0 Aa/aA 1 aa 2 Question: which MAF distributions vary with disease status? Answer: a huge number of MAF disease contingency tables. An example for type-2 Diabetes mellitus: MAF: rs dm2 status case control χ 2 stat is 32 on 2 df for p =

24 Dataset has 1000 individuals, 1/2 diabetic, and 7597 SNPs. Not all SNPs are recorded for all individuals, but most are of the tables have cell expectations < 5, so the χ 2 approximation is invalid: drop them. This leaves us with 4875 χ 2 -test p-values. Frequency p-values Which are significant? We ll choose a cut-off to control FDR. 23

25 Controlling the False Discovery Rate The slope of the FDR-cut line is q/[# of variables]. significant not significant Lots of action! 183 significant tests at FDR of 1e-3. This is (for genetics) a massive sample, and these SNP locations were targeted. Much GWAS is not as rich: e.g., Chabris+ Psych Sci

26 Back to the semiconductors Semiconductor Signals Frequency p-value Some are clustered at zero, the rest sprawl out to one. Which come from null β j = 0? Which are significant? 25

27 The q = 0.1 line yields 25 significant signals. FDR = 0.1 p-values 1e-06 1e-04 1e-02 1e tests ordered by p-value Since the inputs are orthogonal, these are the same 25 most highly correlated-with-y from earlier. 26

28 The problem with FDR: test dependence The tests in these examples are plausibly independent: SNPs are far apart, and PCs are orthogonal. This seldom holds. Even here: related genes, estimated PCs. In regression, multicollinearity causes problems: Given two highly correlated x s the statistician is unsure which to use. You then get big p-values and neither variable is significant. Even with independence, FDR control is often impractical Regression p-values are conditional on all other x j s being in the model. This is probably a terrible model. p-values only exist for p < n, and for p anywhere near to n you are working with very few degrees of freedom. But if you are addicted to p-values, its the best you can do. 27

29 Prediction vs Evidence Hypothesis testing is about evidence: what can we conclude? Often, you really want to know: what is my best guess? False Discovery proportions are just one possible model metric. As an alternative, predictive performance can be easier to measure and more suited to the application at hand. This is even true in causal inference: most of your model components need to predict well for you to claim structural interpretation for a few chosen variables. 28

30 Model Building: it is all about prediction. A recipe for model selection. 1. Find a manageable set of candidate models (i.e., such that fitting all models is fast). 2. Choose amongst these candidates the one with best predictive performance on unseen data. 1. is hard. We ll discuss how this is done Seems impossible! We need to define some measures of predictive performance and estimators for those metrics. 29

31 Metrics of predictive performance How useful is my model for forecasting unseen data? Crystal ball: what is the error rate for a given model fitting routine on new observations from the same DGP as my data? Bayesian: what is the posterior probability of a given model? IE, what is the probability that the data came from this model? These are very closely linked: posteriors are based on integrated likelihoods, so Bayes is just asking what is the probability that this model is best for predicting new data?. We ll estimate crystal ball performance with cross validation, and approximate model probabilities with information criteria. 30

32 Out-of-sample prediction experiments We already saw an OOS experiment with the semiconductors. Implicitly, we were estimating crystal ball R 2. The procedure of using such experiments to do model selection is called Cross Validation (CV). It follows a basic algorithm: For k = 1... K, Use a subset of n k < n observations to train the model. Record the error rate for predictions from this fitted model on the left-out observations. Error is usually measured in deviance. Alternatives include MSE, misclass rate, integrated ROC, or error quantiles. You care about both average and spread of OOS error. 31

33 K-fold Cross Validation One option is to just take repeated random samples. It is better to fold your data. Sample a random ordering of the data (important to avoid order dependence) Split the data into K folds: 1st 100/K%, 2nd 100/K%, etc. Cycle through K CV iterations with a single fold left-out. This guarantees each observation is left-out for validation, and lowers the sampling variance of CV model selection. Leave-one-out CV, with K = n, is nice but takes a long time. 32

34 Problems with Cross Validation It is time consuming: When estimation is not instant, fitting K times can become unfeasible even K in It can be unstable: imagine doing CV on many different samples. There can be huge variability on the model chosen. It is hard not to cheat: for example, with the FDR cut model we ve already used the full n observations to select the 25 strongest variables. It is not surprising they do well OOS. Still, some form of CV is used in most DM applications. 33

35 Alternatives to CV: Information Criteria There are many Information Criteria out there: AIC, BIC,... These IC are approximations to -log model probabilities. The lowest IC model has highest posterior probability. Think Bayes rule for models M 1,M 2,...M B : p(m b data) = p(data, M b) p(data) p(data M b ) p(m } {{ } b ) } {{ } LHD prior The prior is your probability that a model is best before you saw any data. Given Ockham s razor, p(m b ) should be high for simple models and low for complicated models. exp(-ic) is proportional to model probability. 34

36 IC and model priors IC are distinguished by what prior they correspond to. The two most common are AIC (Akaike s) and BIC (Baye s). These are both proportional to Deviance + k # parameters. This comes from a Laplace approximation to the integral log p(y, M b ) = log LHD(y β b )dp(β b ) Akaike uses k = 2 and Bayes uses k = log(n). So BIC uses a prior that penalizes complicated models more than AIC s does. ) BIC uses a unit-information prior: N( ˆβ, 1 2 loglhd n β 2 AIC s integrates exp [ p b 2 (log(n) 1)]. 35

37 Example: IC for Semiconductors Consider AIC and BIC for full (p=200) and cut (p=25) glms. > BIC(full) [1] > BIC(cut) [1] > AIC(full) [1] > AIC(cut) [1] Here they agree: cut model wins. Usually they will not. Preference is controversial, but you ll find which you prefer. My take: BIC tends to move with OOS error, so that the model with lowest BIC is close to that with lowest OOS deviance. For big n, AIC does not and will over-fit. 36

38 Forward stepwise regression Both CV and IC methods require a set of candidate models. How do we find a manageable group of good candidates? Forward stepwise procedures: start from a simple null model, and incrementally update fit to allow slightly more complexity. Better than backwards methods The full model can be expensive or tough to fit, while the null model is usually available in closed form. Jitter the data and the full model can change dramatically (because it is overfit). The null model is always the same. Stepwise approaches are greedy : they find the best solution at each step without thought to global path properties. Many ML algorithms can be understood in this way. 37

39 Naive stepwise regression The step() function in R executes a common routine Fit all univariate models. Choose that with highest R 2 and put that variable say x (1) in your model. Fit all bivariate models including x (1) (y β (1) x (1) + β j x j ), and add x j from one with highest R 2 to your model. Repeat: max R 2 by adding one variable to your model. The algorithm stops when IC is lower for the current model than for any of the models that add one variable. Two big problems with this algorithm Cost: it takes a very long time to fit all these models. 3 min to stop at AIC s p = 68, 10 sec to stop at BIC s p = 10. Stability: sampling variance of the naive routine is very high. 38

40 Penalized estimation Stepwise is a great way to build candidate sets, but the naive algorithm is slow and unstable. CV is impractical if one fit on a tiny dataset takes 3 minutes. Modern stepwise algorithms use deviance penalties. Instead of MLE, fit ˆβ to minimize -loglhd(β) + λ j c(β j). λ > 0 is a penalty weight, c is a cost function with min at zero. Cost functions look something like β α, for α 0, 1, 2. λ indexes candidate models. A forward stepwise algorithm: start from λ big enough that all β j = 0. Incrementally decrease λ and update ˆβ at each step. 39

41 Cost functions Decision theory is based on the idea that choices have costs. Estimation and hypothesis testing: what are the costs? Estimation: Deviance is cost of distance from data to model. Testing: ˆβj = 0 is safe, so it should cost to decide otherwise. c should be lowest at β = 0 and we pay more for β > 0. beta^ ridge abs(beta) lasso abs(beta) * beta^ elastic net log(1 + abs(beta)) log beta beta beta beta options: ridge β 2, lasso β, elastic net αβ 2 + β, log(1 + β ). 40

42 Penalization can yield automatic variable selection deviance penalty deviance + penalty β^ β^ β^ Anything with an absolute value (e.g., lasso) will do this. There are MANY penalty options; think of lasso as a baseline. Important practical point: Penalization means that scale matters. Most software will multiply β j by sd(x j ) in the cost function to standardize. 41

43 Cost function properties Ridge is a James-Stein estimator, with the associated squared-error-loss optimality for dense signals. It shrinks the coefficients of correlated variables towards each other. Concave penalties have oracle properties: ˆβj for true nonzero coefficients converge to MLEs for the true model (Fan+, 200+). Lasso is a middle ground. It tends to choose a single input amongst correlated signals but also has a non-diminishing bias. The lasso does not have Oracle properties. It gains them if the coefficients are weighted by signal strength (Zou 2006), and predicts as well as the Oracle if λ is chosen via CV (Homrighausen + McDonald, 2013). 42

44 Regularization: depart from optimality to stabilize a system. Common in engineering: I wouldn t fly on an optimal plane. Fitted β for decreasing λ is called a regularization path The New Least Squares coefficient log penalty For big p, a path to λ = 0 is faster than a single full OLS fit. For the semiconductors ( ) it takes 4 seconds. The genius of lasso: ˆβ changes smoothly (i.e., very little) when λ moves, so updating estimates from λ t 1 λ t is crazy fast. 43

45 Sound too good to be true? You need to choose λ. Think of λ as a signal-to-noise filter: like squelch on a radio. CV: fit training-sample paths and use λ that does best OOS binomial deviance log penalty Two common rules for best : min average error, or the largest λ with mean error no more than 1SE away from the minimum. 44

46 Any serious software will fit lasso paths and do CV Coefficients Binomial Deviance Log Lambda log(lambda) These plots for semiconductor regression are from glmnet in R. It s as simple as fit = cv.glmnet(x,y,family=binomial). 45

47 IC and the lasso What are the degrees of freedom for penalized regression? Think about L 0 cost (subset selection): we have ˆp parameters in a given model, but we ve looked at all p to choose them. A fantastic and surprising result about the lasso is that ˆp λ, the number of nonzero parameters at λ, is an unbiased estimate of the degrees of freedom (in Stein sense, i cov(ŷ i, y i )/σ 2 ). See Zou, Hastie, + Tibshrani 2007, plus Efron 2004 on df. So the BIC for lasso is just deviance + ˆp λ log(n). This is especially useful when CV takes too long. (For semiconductors, it agrees with the 1SE rule that ˆp = 1.) 46

48 Lasso and the Comscore data Recall web browsing example: y is log spend for 60k online consumers, and x is the % of visits spent at each of 8k sites. Lasso path minimizes i 1 (y 2 i α x β) 2 + λ j β j Mean Squared Error BIC log(lambda) log(lambda) The BIC mirrors OOS error. This is why practitioners like BIC. 47

49 Comscore regression coefficients The BIC chooses a model with around 400 nonzero ˆβ. Some of the large absolute values: shoppingsnap.com onlinevaluepack.com bellagio.com scratch2cash.com safer-networking.org cashunclaimed.com tunes4tones.com winecountrygiftbaskets.com marycy.org finestationery.com columbiahouse.com-o01 harryanddavid.com bizrate.com frontgate.com victoriassecret.com Note that the most raw dollars were spent on travel sites (united.com,oribtz.com,hotels.com,...) but these don t have the largest coefficients (changes if you scale by sd). 48

50 Non-convex penalties The concave penalties e.g., s log(r + β j ) are tempting: If a variable is in-the-model, you get a low bias estimate for it. However you need to be careful: Bias improves prediction by lowering estimation variance. See Breiman, 1996 for a classic discussion of the issue. For us, bias is what makes the regularization paths continuous. Discontinuity implies instability (jitter data = big fit changes). It also has big practical implications on computation time. 49

51 Continuity and curvature There is space between L 1 and discontinuity. Jumps are caused by concavity at the origin. For orthogonal X, this happens if λd2 c dβ 2 Log penalty curve at zero is s/r 2. For linear regression v x: < 2 loglhd β 2 βj =0 x'v = 1.6 x'v = 2 penalty s=1, r=.5 s=1.5, r= log[ LHD ] + penalty log[ LHD ] + penalty phi phi phi 50

52 Bayesian Lasso and gamma-lasso I call this s/r 2 curvature the variance of lambda. That s because it is, if you derive the log penalty from a gamma(s, r) prior on unique L1 penalties for each β j. More generally, all penalized MLEs can be interpreted as posterior maxima (MAPs) under some Bayesian prior. The classics: ridge implies a Gaussian prior on β, and lasso is a Laplace prior (carlin,polson,stoffer, 1992, park+casella 2008). The log penalty corresponds to joint solution under the prior π(β j, λ j ) = La(β j ; λ j )Ga(λ j ; s, r) = r2 λ s j 2Γ(s) e λ j(r+ β j ). Armagan+Dunson 2013, Taddy 2012, and others similar. 51

53 A useful way to think about penalization The log penalty is a conjugate prior relaxation of the lasso... The joint problem is convex, so we get fast globally convergent estimation under non-convex penalties. objective lambda objective lambda beta beta Continuity as a function of prior variance is a nice bonus. Taddy 2013 the gamma lasso 52

54 Comscore: time for a single log penalty path fit subset selection (1/2 hour) minutes lasso 1e-01 1e+01 1e+03 1e+05 1e+07 var(lambda) Paths are in s/r with s/r 2 constant. SS is greedy forward. The paths here (including SS) all go out to 5k df. Full OLS (p 8k) takes >3 hours on a fast machine. 53

55 Comscore: path continuity A quick look at the paths explains our time jumps. Plotting only the 20 biggest BIC selected β: var = 1e var = 1e var = Inf coefficient coefficient coefficient deviance deviance deviance Algorithm cost explodes with discontinuity. (var = Inf is subset selection). 54

56 Factor models: PCA and PCR. Setting things to zero is just one way to reduce dimension. Another useful approach is a factor model: E[x] = v Φ, where K = dim(v) << dim(x). Factor regression then just fits E[y] = v β. For our semiconductors example, the covariates are PC directions. So we ve been doing this all along. It is best to have both y and x inform estimation of v. This is supervised factorization (also inverse regression). We ll just start with the (unsupervised) two stage approach. 55

57 Factor models: PCA and PCR. Most common routine is principal component (PC) analysis. Columns of Φ are eigenvectors of the covariance X X, so z = x Φ is a projection into the associated ortho subspace. Recall: the actual model is E[x] = v Φ. z = x ˆΦ ˆv is the projection of x onto our factor space. If this is confusing you can equate the two without problem. Full spectral decomposition has ncol(φ) = min(n,p), but a factor model uses only the K << p with largest eigenvalues. 56

58 PCA: projections into latent space Another way to think about factors, in a 2D example: PCA equivalent to finding the line that fits through x 1 and x 2, and seeing where each observation lands (projects) on the line. We ve projected from 2D onto a 1D axis. 57

59 Fitting Principal Components via Least Squares PCA looks for high-variance projections from multivariate x (i.e., the long direction) and finds the least squares fit. x PC1 PC Components are ordered by variance of the fitted projection. x1 58

60 A greedy algorithm Suppose you want to find the first set of factors, v = v 1... v n. We can write our system of equations (for i = 1...n) E[x i1 ] = cor(x 1, v)v i. E[x ip ] = cor(x p, v)v i The factors v 1 are fit to maximize average R 2 in this equation. Next, calculate residuals e ij = x ij cor(x j, v 1 )v 1i. Then find v 2 to maximize R 2 for these residuals. This repeats until residuals are all zero (min(p, n) steps). This is not actually done in practice, but the intuition is nice. 59

61 Geo-Genes Example: two interpretable factors. Novembre et al, Nature 456 (2008) The x for each individual is a giant vector of SNPs. They ve reduced it into two factors that explain most of the variation. Turns out that location in this 2-D space looks geographical. 60

62 Congress and Roll Call Voting Votes in which names and positions are recorded are called roll calls. The site voteview.com archives vote records and the R package pscl has tools for this data. 445 members in the last US House (the 111 th ) 1647 votes: nea = -1, yea=+1, missing = 0. This leads to a large matrix of observations that can probably be reduced to simple factors (party). 61

63 Vote components in the 111 th house The model is E[x i ] = v i1 ϕ 1 + v i2 ϕ Each PC is z ik = x i ϕ k = j x ijϕ kj Variances Rollcall-Vote Principle Components Huge drop in variance from 1 st to 2 nd and 2 nd to 3 rd PC. Poli-Sci holds that PC1 is usually enough to explain congress. 2nd component has been important twice: 1860 s and 1960 s. 62

64 Top two PC directions in the 111 th house PC PC1 Republicans in red and Democrats in blue: Clear separation on the first principal component. The second component looks orthogonal to party. 63

65 Interpreting the principal components ## Far right (very conservative) > sort(votepc[,1]) BROUN (R GA-10) FLAKE (R AZ-6) HENSARLIN (R TX-5) ## Far left (very liberal) > sort(votepc[,1], decreasing=true) EDWARDS (D MD-4) PRICE (D NC-4) MATSUI (D CA-5) ## social issues? immigration? no clear pattern > sort(votepc[,2]) SOLIS (D CA-32) GILLIBRAND (D NY-20) PELOSI (D CA-8) STUTZMAN (R IN-3) REED (R NY-29) GRAVES (R GA-9) PC1 is easy to read, PC2 is ambiguous (is it even meaningful?) 64

66 High PC1-loading votes are ideological battles. These tend to have informative voting across party lines. Afford. Health (amdt.) TARP Frequency st Principle Component Vote-Loadings A vote for Republican amendments to Affordable Health Care for America strongly indicates a negative PC1 (more conservative), while a vote for TARP indicates a positive PC1 (more progressive). 65

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