Classical Statistical (In-Sample) Intuitions Don't Generalize Well: A Note on Bias-Variance Tradeoffs, Overfitting and Moving from Fixed to Random Designs

• URL: http://arxiv.org/abs/2409.18842v1
• Date: Fri, 27 Sep 2024 15:36:24 GMT
• Title: Classical Statistical (In-Sample) Intuitions Don't Generalize Well: A Note on Bias-Variance Tradeoffs, Overfitting and Moving from Fixed to Random Designs
• Authors: Alicia Curth,
• Abstract summary: We show that there is another reason why we observe behaviors today that appear at odds with intuitions taught in classical statistics textbooks. We highlight that this simple move from fixed to random designs has far-reaching consequences on textbook intuitions.
• Score: 11.893324664457548
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The sudden appearance of modern machine learning (ML) phenomena like double descent and benign overfitting may leave many classically trained statisticians feeling uneasy -- these phenomena appear to go against the very core of statistical intuitions conveyed in any introductory class on learning from data. The historical lack of earlier observation of such phenomena is usually attributed to today's reliance on more complex ML methods, overparameterization, interpolation and/or higher data dimensionality. In this note, we show that there is another reason why we observe behaviors today that appear at odds with intuitions taught in classical statistics textbooks, which is much simpler to understand yet rarely discussed explicitly. In particular, many intuitions originate in fixed design settings, in which in-sample prediction error (under resampling of noisy outcomes) is of interest, while modern ML evaluates its predictions in terms of generalization error, i.e. out-of-sample prediction error in random designs. Here, we highlight that this simple move from fixed to random designs has (perhaps surprisingly) far-reaching consequences on textbook intuitions relating to the bias-variance tradeoff, and comment on the resulting (im)possibility of observing double descent and benign overfitting in fixed versus random designs.

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