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 I really enjoy hearing simple explanations to complex problems. What is your favorite analogy or anecdote that explains a difficult statistical concept? My favorite is Murray's explanation of cointegration using a drunkard and her dog. Murray explains how two random processes (a wandering drunk and her dog, Oliver) can have unit roots but still be related (cointegrated) since their joint first differences are stationary. The drunk sets out from the bar, about to wander aimlessly in random-walk fashion. But periodically she intones "Oliver, where are you?", and Oliver interrupts his aimless wandering to bark. He hears her; she hears him. He thinks, "Oh, I can't let her get too far off; she'll lock me out." She thinks, "Oh, I can't let him get too far off; he'll wake me up in the middle of the night with his barking." Each assesses how far away the other is and moves to partially close that gap.