Incoprea Theory
Vol. XXXI · 129

Theory 11/More data means better decisions

Variables Outrun Signal

The claim

Adding variables increases overfitting faster than explanatory power once the ratio of variables to observations exceeds a threshold.

01Mechanism

Each variable adds variance to the estimate while adding little signal.

02Prediction

Out-of-sample error should rise past a variable ratio.

03Refutation

Monotonic improvement with variables would remove the threshold.