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This is from "Artificial Intelligence For Dummies".

Some research will require you to be able to identify persons used within a dataset. Going out and grabbing Personally Identifiable Information (PII) isn’t a good way to gather data. For one thing, you can’t be sure that the information is either complete or correct, so any analysis you perform is suspect. For another thing, you could encounter the messy and costly consequences of legal actions.

I wonder what the meaning of 'going out and grabbing' is here.

Does it mean 'obtaining something by unethical or illegal means'?

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In my experience, when we talk about 'going out and doing something' we may be informally talking about 'doing something impulsively or without first doing research, fully considering all the implications, etc'.

There is no automatic implication that the doer physically 'goes out' (exits a place), although this may happen.

The implications, as the paragraph quoted suggests, could be legal and practical or financial.

Legal:

Gathering Personally Identifiable Information (PII) is governed by law in many places and using it for purposes other than those for which it was initially gathered may be illegal.

Practical:

The data gathered could be incomplete.

The data gathered could be incorrect.

Any analysis could be suspect.

Data gathered illegally could involve a company or organisation in court cases or regulatory action including fines, which could be expensive and negatively affect the organisation's reputation, leading to reduced business effectiveness in the future, shareholder resentment, etc.

Consider: I talked to my husband about our need for a car, and he went out and bought a $40,000 SUV even though we have a low income and a used 10-year-old Nissan Micra would suit us just as well.

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Probably not illegal, perhaps questionably ethical.

It is written in the casual "spoken" style of the Dummies books, and should be read in context.

Using your general knowledge, where do you think most data to feed to AIs comes from? Probably the internet.

Grabbing means "taking quickly and without permission" So this suggests collecting information quickly, from the internet (out there) probably using some automatic process. For example, it could be harvesting email addresses from webpages.

It's not normally illegal to collect information that has been put in a public place without permission, though there may be rules governing its processing or use. It may be unethical, but that is moral judgement that isn't implied by the grammar.

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