Egon Pearson

During the last few days, the Error Statistics blog has included posts about Egon Sharpe Pearson. Egon (son of Sir Karl Pearson), made numerous fundamental contributions to mathematical statistics, many of which bear directly on the development and practice of econometrics.

I had a post about the Neyman-Pearson Lemma earlier this year.

Deborah Mayo wrote a post, titled, "E. S. Pearson's Statistical Philosophy"; and Aris Spanos contributed a post, titled "Egon Pearson's Neglected Contributions to Statistics".

I especially enjoyed the second of these pieces, and I'd recommend it to all students of econometrics.

As Aris notes:

"What is rarely mentioned is Egon’s early pioneering work on: 

(i) specification: the need to state explicitly the inductive premises of one’s inferences,

(ii) robustness: evaluating the ‘sensitivity’ of inferential procedures to departures from the Normality assumption, as well as

(iii) Mis-Specification (M-S) testing: probing for potential departures from the Normality  assumption."

© 2012, David E. Giles