Mean Squared Error and Comparing Models
نویسنده
چکیده
This criterion should be contrasted with the RSS encountered earlier in the course. The RSS pertains to model estimation, since we are already assuming a given model for some particular data set; and it suffices to estimate the specific values of our estimators for the unknown parameters. The MSE combines the previous two criteria, on the unbiasedness and the variance of β̂, through the following decomposition:
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