Overfitting

In statistics, overfitting is 'the production of an analysis that corresponds too closely or exactly to a particular set of data, and may therefore fail to fit additional data or predict future observations reliably'. An overfitted model is a statistical model that contains more parameters than can be justified by the data. The essence of overfitting is to have unknowingly extracted some of the residual variation (i.e. the noise) as if that variation represented underlying model structure.:45Overfitted models … are often free of bias in the parameter estimators, but have estimated (and actual) sampling variances that are needlessly large (the precision of the estimators is poor, relative to what could have been accomplished with a more parsimonious model). Spurious treatment effects tend to be identified, and spurious variables are included with overfitted models. … A best approximating model is achieved by properly balancing the errors of underfitting and overfitting.Given a data set, you can fit thousands of models at the push of a button, but how do you choose the best? With so many candidate models, overfitting is a real danger. Is the monkey who typed Hamlet actually a good writer?… an underfitted model would ignore some important replicable (i.e., conceptually replicable in most other samples) structure in the data and thus fail to identify effects that were actually supported by the data. In this case, bias in the parameter estimators is often substantial, and the sampling variance is underestimated, both factors resulting in poor confidence interval coverage. Underfitted models tend to miss important treatment effects in experimental settings. In statistics, overfitting is 'the production of an analysis that corresponds too closely or exactly to a particular set of data, and may therefore fail to fit additional data or predict future observations reliably'. An overfitted model is a statistical model that contains more parameters than can be justified by the data. The essence of overfitting is to have unknowingly extracted some of the residual variation (i.e. the noise) as if that variation represented underlying model structure.:45 Underfitting occurs when a statistical model cannot adequately capture the underlying structure of the data. An underfitted model is a model where some parameters or terms that would appear in a correctly specified model are missing. Underfitting would occur, for example, when fitting a linear model to non-linear data. Such a model will tend to have poor predictive performance. Overfitting and underfitting can occur in machine learning, in particular. In machine learning, the phenomena are sometimes called 'overtraining' and 'undertraining'. The possibility of overfitting exists because the criterion used for selecting the model is not the same as the criterion used to judge the suitability of a model. For example, a model might be selected by maximizing its performance on some set of training data, and yet its suitability might be determined by its ability to perform well on unseen data; then overfitting occurs when a model begins to 'memorize' training data rather than 'learning' to generalize from a trend.