What is your favorite statistical quote?
This is community wiki, so please one quote per answer.
…the statistician knows…that in nature there never was a normal distribution, there never was a straight line, yet with normal and linear assumptions, known to be false, he can often derive results which match, to a useful approximation, those found in the real world.
George Box (JASA, 1976, Vol. 71, 791-799)
While the individual man is an insoluble puzzle, in the aggregate he becomes a mathematical certainty. You can, for example, never foretell what any one man will be up to, but you can say with precision what an average number will be up to. Individuals vary, but percentages remain constant. So says the statistician.
Arthur Conan Doyle
"Extraordinary claims demand extraordinary evidence."
Often attributed to Carl Sagan, but he was paraphrasing sceptic Marcello Truzzi. Doubtless the concept is even more ancient.
David Hume said, "A wise man, therefore, proportions his belief to the evidence".
One could argue this is not a quote about statistics. However, applied statistics is ultimately in the business of evaluating the quality of evidence for or against some proposition.
May I add this one, because I like Jan's contributions to psychometrics and statistics...
Causal interpretation of the results of regression analysis of observational data is a risky business. The responsibility rests entirely on the shoulders of the researcher, because the shoulders of the statistical technique cannot carry such strong inferences.
Jan de Leeuw, homepage
Found in Warning Signs in Experimental Design and Interpretation by Peter Norvig
Most of the time, when you get an amazing, counterintuitive result, it means you have screwed up the experiment
in the sense of
Extraordinary claims require extraordinary evidence
which is based on a similar quote by Pierre Laplace
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