Mean squared prediction error: Difference between revisions

Revision as of 17:49, 28 May 2018

Revision as of 21:49, 28 May 2018

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:<math>\operatorname{MSPE}(L)=\sum_{i=1}^n\left(\operatorname{E}\left[\widehat{g}(x_i)\right]-g(x_i)\right)^2+\sum_{i=1}^n\operatorname{var}\left[\widehat{g}(x_i)\right].</math>

Knowledge of ''g'' is required in order to calculate MSPE exactly,; otherwise, it can be estimated.

==Computation of MSPE over out-of-sample data==