Bias, Variance and the Combination of Least Squares Estimators

  title={Bias, Variance and the Combination of Least Squares Estimators},
  author={Ron Meir},
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… CONTINUE READING

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