Bias, Variance and the Combination of Least Squares Estimators

Part of Advances in Neural Information Processing Systems 7 (NIPS 1994)

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Authors

Ronny Meir

Abstract

We consider the effect of combining several least squares estimators on the expected performance of a regression problem. Computing the exact bias and variance curves as a function of the sample size we are able to quantitatively compare the effect of the combination on the bias and variance separately, and thus on the expected error which is the sum of the two. Our exact calculations, demonstrate that the combination of estimators is particularly useful in the case where the data set is small and noisy and the function to be learned is unrealizable. For large data sets the single estimator produces superior results. Finally, we show that by splitting the data set into several independent parts and training each estimator on a different subset, the performance can in some cases be significantly improved.

Key words: Bias, Variance, Least Squares, Combination.