This article elaborates on Frank Harrell’s post providing guidance in choosing between machine learning and statistical modeling for a prediction project.

This article provides general guidance to help researchers choose between machine learning and statistical modeling for a prediction project.

Deep learning and other forms of machine learning are getting a lot of press in medicine. The reality doesn’t match the hype, and interpretable statistical models still have a lot to offer.

It is easy to compute the sample size N_{1} needed to reliably estimate how one predictor relates to an outcome. It is next to impossible for a machine learning algorithm entertaining hundreds of features to yield reliable answers when the sample size < N_{1}.

I discussed the many advantages or probability estimation over classification. Here I discuss a particular problem related to classification, namely the harm done by using improper accuracy scoring rules. Accuracy scores are used to drive feature selection, parameter estimation, and for measuring predictive performance on models derived using any optimization algorithm. For this discussion let Y denote a no/yes false/true 0/1 event being predicted, and let Y=0 denote a non-event and Y=1 the event occurred.

It is important to distinguish prediction and classification. In many decisionmaking contexts, classification represents a premature decision, because classification combines prediction and decision making and usurps the decision maker in specifying costs of wrong decisions. The classification rule must be reformulated if costs/utilities or sampling criteria change. Predictions are separate from decisions and can be used by any decision maker. Classification is best used with non-stochastic/deterministic outcomes that occur frequently, and not when two individuals with identical inputs can easily have different outcomes.

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