Squared error of an average
Theorem taught in Ensembles, random forests, and boosting, part of Statistical learning
Squared error of an average
| Type | Theorem |
| Taught in | Ensembles, random forests, and boosting |
| Part | Statistical learning |
If the response at this x is y, the squared error of the average splits into the average squared error of the members minus the sample variance of the members about their average:
\bigl(f(x)-y\bigr)^2 =\frac1T\sum_{t=1}^T\bigl(f_t(x)-y\bigr)^2 -\frac1T\sum_{t=1}^T\bigl(f_t(x)-f(x)\bigr)^2.
Used in
- Taught in Ensembles, random forests, and boosting, where the derivation and examples are.
- All 7 questions on Ensembles, random forests, and boosting
See also
Variance · Random forest · AdaBoost · The reweighted error is one half · Why averaging helps · Ensemble error decomposition · Where disagreement comes from · Bagging and random forests