Stacked regressions

Stacking regressions is a method for forming linear combinations of different predictors to give improved prediction accuracy. The idea is to use cross-validation data and least squares under non-negativity constraints to determine the coefficients in the combination. Its effectiveness is demonstrated in stacking regression trees of different sizes add in a simulation stacking linear subset and ridge regressions. Reasons why this method works are explored. The idea of stacking originated with Wolpert (1992).