Spurious correlations in high dimensional regression: The roles of regularization, simplicity bias and over-parameterization

Learning models have been shown to rely on spurious correlations between non-predictive features and the associated labels in the training data, with negative implications on robustness, bias and fairness. In this work, we provide a statistical characterization of this phenomenon for high-dimensional regression, when the data contains a predictive core feature x and a spurious feature y. Specifically, we quantify the amount of spurious correlations C learned via linear regression, in terms of the data covariance and the strength λ of the ridge regularization. As a consequence, we first capture the simplicity of y through the spectrum of its covariance, and its correlation with x through the Schur complement of the full data covariance. Next, we prove a trade-off between C and the in-distribution test loss L, by showing that the value of λ that minimizes L lies in an interval where C is increasing. Finally, we investigate the effects of over-parameterization via the random features model, by showing its equivalence to regularized linear regression. Our theoretical results are supported by numerical experiments on Gaussian, Color-MNIST, and CIFAR-10 datasets.