- When you start, you are taking a leap into total emptiness. You explore a thousand different avenues, most of them are dead ends. Your day consists of massive amount of mental effort to stay focused, to stay sane, and to make good assumptions. Then you change tack/analyses continuously. You keep adding/deleting datasets. This is not theoretical statistics but sometimes you use arcane things; so you definitely need to be very strong at Stats. My personal dream is that one day, when I have time and money, I will use these methods to come up with a Meta- Statistics approach to empirical analysis -- i.e., to use Analytics to predict, based on the problem definition and available data sets, which methods to use.

- You have to have patient clients. Jumping 10 months into a project with absolutely NO guarantee of success is a huge leap of faith, financially speaking; but the rewards can be huge. One day you are still nowhere, and literally the next day, everything clicks, you check your conclusions once-twice-thrice, make a presentation to the client, and, boom!, your project is over.