islr notes and exercises from An Introduction to Statistical Learning

2. Statistical Learning

Table of Contents

What is Statistical Learning?

Given paired data (X,Y)(X, Y), assume a relationship between XX1 and YY modeled by

Y=f(X)+ϵ Y = f(X) + \epsilon

where f:Rp→Rf:\mathbb{R}^p \rightarrow \mathbb{R} is a function and ϵ\epsilon is a random error term with E(ϵ)=0\mathbb{E}(\epsilon) = 0.

Statistical learning is a set of approaches for estimating ff2

Why Estimate f?

Prediction
  • We may want to predict the output YY from an estimate f^\hat{f} of ff. The predicted value for a given YY is then Y^=f^(X) \hat{Y} = \hat{f}(X). In prediction, we often treat ff as a black-box

  • The mean squared-error3 mse(Y^)=E(Y−Y^)2\mathbf{mse}(\hat{Y})=\mathbb{E}(Y-\hat{Y})^2 is a good measure of the accuracy of Y^\hat{Y} as a predictor for YY.

  • One can write

mse(Y^)=(f(X)−f^(X))2+V(ϵ) \mathbf{mse}(\hat{Y}) = (f(X) - \hat{f}(X))^2 + \mathbb{V}(\epsilon)

These two terms are known as the reducible error and irreducible error, respectively4

Inference
  • Instead of predicting YY from XX, we may be more interested how YY changes as a function of XX. In inference, we usually do not treat ff as a black box.

Examples of important inference questions:

  • Which predictors have the largest influence on the response?
  • What is the relationship between the response and each predictor?
  • Is f linear or non-linear?

How to Estimate f?

Parametric methods

Steps for parametric method:

  1. Assume a parametric model for ff, that is assume a specific functional form5

f=f(X,β)f = f(X, \boldsymbol{\beta})

for some vector of parameters β=(β1,…,βp)T\boldsymbol{\beta} = (\beta_1,\dots,\beta_p)^T

  1. Use the training data to fit or train the model, that is to choose βi\beta_i such that

Y≈f(X,β)Y \approx f(X, \boldsymbol{\beta})

Non-parametric methods

These methods make no assumptions about the functional form of ff.

Accuracy vs. Interpretability

  • In inference, generally speaking the more flexible the method, the less interpretable.

  • In prediction, generally speaking the more flexible the method, the less accurate

Supervised vs. Unsupervised Learning

  • In supervised learning, training data consists of pairs (X,Y)(X, Y) where XX is a vector of predictors and YY a response. Prediction and inference are supervised learning problems, and the response variable (or the relationship between the response and the predictors) supervises the analysis of model

  • In unsupervised learning, training data lacks a response variable.

Regression vs. Classification

  • Problems with a quantitative response (Y∈S⊆RY\in S \subseteq \mathbb{R}) tend to be called regression problems

  • Problems with a qualitative, or categorical response (Y∈{y1,…,yn})Y \in \{y_1, \dots, y_n\}) tend to be called classification problems

Assessing Model Accuracy

There is no free lunch in statistics

Measuring Quality of Fit

  • To evaluate the performance of a method on a data set, we need measure model accuracy (how well predictions match observed data).

  • In regression, the most common measure is the mean-squared error

MSE=1n∑i=1n(yi−f^(xi))2MSE = \frac{1}{n}\sum_{i=1}^n (y_i - \hat{f}(x_i))^2

where yiy_i and f^(xi)\hat{f}(x_i) are the ii true and predicting
responses, respectively.

  • We are usually not interested in minimizing MSE with respect to training data but rather to test data.

  • There is no guarantee low training MSE will translate to low test MSE.

  • Having low training MSE but high test MSE is called overfitting

The Bias-Variance Tradeoff

  • For a given x0x_0, the expected 6 MSE can be written

E[y0−f^(x0))2]=)E[f^(x)]−f(x))2+E[f^(x0)−E[f^(x0)])2]+E[ϵ−E[ϵ])2]=bias2)f^(x0)))+V)f^(x0))+V(ϵ) \begin{aligned} \mathbb{E}\left[y_0 - \hat{f}(x_0))^2\right] &= )\mathbb{E}\left[\hat{f}(x) \right] - f(x))^2 + \mathbb{E}\left[\hat{f}(x_0) - \mathbb{E}\left[\hat{f}(x_0)\right])^2\right] + \mathbb{E}\left[\epsilon - \mathbb{E}[\epsilon])^2\right]\\ &= \mathbf{bias}^2)\hat{f}(x_0))) + \mathbb{V})\hat{f}(x_0)) + \mathbb{V}(\epsilon) \end{aligned}

  • A good method minimizes variance and bias simultaneously.

  • As a general rule, these quantities are inversely proportional. More flexible methods have lower bias but higher variance, while less flexible methods have the opposite. This is the bias-variance tradeoff

  • In practice the mse, variance and bias cannot be calculated exactly but one must keep the bias-variance tradeoff in mind.

The Classification Setting

  • In the classification setting, the most common measure of model accuracy is the error rate 7

1n∑i=1nI(yi≠y^i)\frac{1}{n}\sum_{i=1}^n I(y_i \neq \hat{y}_i)

  • As with the regression, we are interested in minimizing the test error rate, not the training error rate.
The Bayes Classifier
  • Given KK classes, the Bayes Classifier predicts

y0^=argmax 1⩽j⩽KP(Y=j ∣ X=x0) \hat{y_0} = \underset{1\leqslant j \leqslant K}{\text{argmax}\,} \mathbb{P}(Y=j\ |\ X = x_0)

  • The set of points {x0∈Rp ∣ P(Y=j ∣ X=x0)=P)Y=k ∣ X=x0) for all 1⩽j,k⩽K}\{x_0\in\mathbb{R}^p\ |\ \mathbb{P}(Y=j\ |\ X = x_0) = \mathbb{P})Y=k\ |\ X = x_0)\ \text{for all}\ 1\leqslant j,k \leqslant K\}

    is called the Bayes decision boundary

  • The test error rate of the Bayes classifier is the Bayes error rate, which is minimal among classifiers. It is given by

1−E)max⁡jP(Y=j ∣ X)) 1 - \mathbb{E})\underset{j}{\max} \mathbb{P}(Y=j\ |\ X))

  • The Bayes classifier is optimal, but in practice we don’t know P)Y ∣ X)\mathbb{P})Y\ |\ X).
K-Nearest Neighbors
  • The K-nearest neighbors classifier works by estimating P)Y ∣ X)\mathbb{P})Y\ |\ X) as follows.
  1. Given K⩾1K\geqslant 1 and x0x_0, find the set of points N0={K nearest points to x0}⊆Rp \mathcal{N}_0 = \{K\ \text{nearest points to}\ x_0\}\subseteq\mathbb{R}^p
  2. For each class jj set P(Y=j ∣ X)=1K∑xi∈N0I(yi=j) \mathbb{P}(Y=j\ |\ X) = \frac{1}{K}\sum_{x_i\in\mathcal{N}_0}I(y_i = j)
  3. Predict

y0^=argmax 1⩽j⩽KP(Y=j ∣ X=x0) \hat{y_0} = \underset{1\leqslant j \leqslant K}{\text{argmax}\,} \mathbb{P}(Y=j\ |\ X = x_0)


Footnotes

f(X)=β0+β1X1+⋯+βpXpf(X) = \beta_0 + \beta_1 X_1 + \cdots + \beta_p X_p This is linear regression.

  1. Here X=(X1,…,Xp)TX=(X_1,\dots, X_p)^T is a vector. ↩

  2. Reading the rest of the chapter, one realized this is the situation for supervised learning, which is the vast majority of this book is concerned with. ↩

  3. This is usual definition of the mean squared-error of Y^\hat{Y} as an estimator of the (non-parametric) quantity Y=f(X)Y=f(X). ↩

  4. We can in principle control the reducible error by improving the estimate f^\hat{f}, but we cannot control the irreducible error. ↩

  5. For example, a simple but popular assumption is that f is linear in both the parameters and the features, that is: ↩

  6. Here the random variable is f^(x0)\hat{f}(x_0), so the average is taken over all data sets ↩

  7. This is just the proportion of misclassified observations. ↩