Sampling Domain Knowledge

15 May

Say that we want to measure how often people go to risky websites. Let’s assume that the measurement of risk is expensive. We have data on how often people visit each domain on the web from a large sample. The number of unique domains in the data is large, making measuring the population of domains impossible. Say there is a sharp skew in the visitation of domains. What is the fewest number of domains we need to measure to get s.e. of no greater than X per row?

Here are some ideas:

  1. The base solution is simple: sample domains in each row (with replacement) in proportion to views/time to get to the desired s.e. Then, collate the selected domains and get labels for those.
  1. Exploit the skew in the distribution. For instance, sample from 99% of the distribution and save yourself from the long tail. Bound each estimate by the unsampled 1% (which could be anything) and enjoy. For greater accuracy, do a smaller, cruder sample of the 1% and get to the +/- 10% with an n = 100. The full version of this point is as follows: we benefit from increasing the probability of including more frequently occurring domains. Taken to the extremum, you could deterministically include the most frequent domains, and then prorate the size of the sample for the rest by the size of the area under the curve. This kind of strategy can help answer: how to optimally sample skewed distributions to get the smallest s.e. with the fewest observations?

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