Quant Memo
Statistics/●●●●●

How much variance does averaging four models remove?

You average the predictions of B=4B = 4 models (for example, trees in a bagged ensemble). Each model's prediction has variance σ2=100\sigma^2 = 100, and any two models' predictions have correlation ρ=0.5\rho = 0.5.

What is the variance of the averaged prediction?

Your answer

More Statistics questions