This is the distribution of the sum of k values drawn from a normal distribution, squared. The z -score of the observed value of a statistic is the number of standard deviations that it lies away from the mean of its distribution under the null hypothesis. Z -scores are easy to compute and to understand intuitively. The significance of z -scores between 2 and 6 depends in large part on the total number of statistical tests being performed. In data mining with 200 features and ten values for each feature, we are testing 2000 hypotheses.
Many training sets have many unknown feature values for many training examples.
Good algorithms and software for data mining can handle missing values well. But problems remain. For example, consider the problem of predicting who is most likely to buy a luxury car. Suppose the training data includes demographic information purchased from an outside vendor. For a significant fraction of customers, demographic data will be unknown because names and addresses could not be matched.