Mastering Machine Learning Algorithms

Variance of an estimator

At the beginning of this chapter, we have defined the data generating process p_data, and we have assumed that our dataset X has been drawn from this distribution; however, we don't want to learn existing relationships limited to X, but we expect our model to be able to generalize correctly to any other subset drawn from p_data. A good measure of this ability is provided by the variance of the estimator:

The variance can be also defined as the square of the standard error (analogously to the standard deviation). A high variance implies dramatic changes in the accuracy when new subsets are selected, because the model ...