While I was looking up the Tukey quote in my earlier post, I ran another of his quotes:
The test of a good procedure is how well it works, not how well it is understood.
At some level, it’s hard to argue against this. Statistical procedures operate on empirical data, so it makes sense that the procedures themselves be evaluated empirically.
But I question whether we really know that a statistical procedure works well if it isn’t well understood. Specifically, I’m skeptical of complex statistical methods whose only credentials are a handful of simulations. “We don’t have any theoretical results, buy hey, it works well in practice. Just look at the simulations.”
Every method works well on the scenarios its author publishes, almost by definition. If the method didn’t handle a scenario well, the author would publish a different scenario. Even if the author didn’t select the most flattering scenarios, he or she may simply not have considered unflattering scenarios. The latter is particularly understandable, almost inevitable.
Simulation results would have more credibility if an adversary rather than an advocate chose the scenarios. Even so, an adversary and an advocate may share the same blind spots and not explore certain situations. Unless there’s a way to argue that a set of scenarios adequately samples the space of possible inputs, it’s hard to have a great deal of confidence in a method based on simulation results alone.