ASYMPTOTIC BIAS AND VARIANCE OF KERNEL RIDGE REGRESSION
Victor Solo (University of New South Wales)
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06 Jun 2023
Kernel ridge regression is widely used but the theory of
its performance has never been fully developed. While
there are results on convergence there are few on bias
and variance. Here we find expressions for local bias
and variance for the important case of the exponential
quadratic kernel. Using these new expressions, we explain
when quadratic exponential kernel ridge regression
can work well and when it will fail.
