Tagged Questions

This tag is for questions about mean-square-error. In statistics, the mean squared error (MSE) of an estimator measures the average of the squares of the errors or deviations, that is, the difference between the estimator and what is estimated.

2answers
142 views

How to find the bias, variance and MSE of $\hat p$?

If $X_1,\dots,X_n$ are iid $\mathrm{Binomial}(3,p)$, then the maximum likelihood estimator of $p$ is $$\hat p = \frac{1}{n}\sum_i X_i$$ Find the bias, variance and MSE of $\hat p$? We are asked to ...
1answer
32 views

Error in average of $x^2$ from error in average of $x$?

Is there an easy way to obtain the error in $\langle{x^2}\rangle$ from $\langle{x}\rangle$ or are they independent? The values of x are from a molecular simulation application, I obtained a set of ...
1answer
125 views

Expected mean squared error and MSR

In a small-scale regression study, five observations on $Y$ were obtained corresponding to $X = 1,4,10, 11$, and $14$. Assume that $\sigma=0.6,B_0=5,B_1=3$ a. What are the expected values ...
1answer
39 views

Root Mean Square Error - How did he get this number?

So I am studying for a college final exam, and following a past exam paper at the moment. The lecturer has provided us with solutions to the previous years exam paper, not very clear in some cases ...
1answer
19 views

Derivation of MMSE from an estimator of two Gaussians

Suppose $X$ and $N$ are independent Gaussian with different variance but N has zero mean. Now $Y = X+N$. I am trying to find out the minimum mean square error estimator for $X$ given $Y$. I set the ...
1answer
17 views

Is $Φ^T$ a linear operator which transforms simultaneous equations such that we obtain LMS solution?

The below explanation is long winded, if you already know about using pseudo inverse to find the best fit solution to a set of simultaneous equations please go down to the tl;dr The Problem Given a ...
1answer
31 views

A way to calculate the error of a model?

I am currently making a model for a set of raw data of sea levels from the NOAA data base. On the site, the sea level is recorded every 6 minutes. Because I wouldn't have time to copy data every 6 ...
1answer
84 views

How to minimize the minimum mean square error of this difference

I am trying to minimize the mean square error. More precisely, I am trying to minimize the following optimization problem $$\arg \min _{\bf{w_1},\bf{w_2}}\mathbb{E} \,\,[\|{\bf s} - {\bf Wy}\|^2 ]$$ ...
1answer
47 views

Matrix of vector-by-vector sum-squared deviations of two matrices of column vectors

Context I'm working on a Python program in which I will calculate some number $r$ of matrices $\mathbf{A}^i$ with identical dimensions $m\times n$. For this application, each matrix is probably best ...
1answer
47 views

How to find the minimal MSE?

I'm confused as in how to find $⍴$ in c) and why $σ^2$ gives a smaller MSE than $s^2$ I know $MSE(θ) = E(θ - θ_0)^2 = Var(θ) + Bias(θ)^2$ and that $Bias(θ) = E(θ) - θ_0$ But I don't get what θ is ...
1answer
112 views

linear regression, expectation and mean squared error

Let us assume that data is generated according to a true model $$y_i = \beta_{true}x_i + \epsilon_i$$ for $i = 1, ..., n$ Assume that $x_i$ are fixed, and $\epsilon_i$~ N(0, $\sigma^2$) ...
1answer
132 views

Finding the best linear predictor

How do I find the best linear predictor of $X_{n+1}$ in terms of $X_{n-1}, X_n$, if $X_t$ is the MA(1) model $X_t = Z_t + \theta Z_{t−1}$.
1answer
22 views

Getting the average of values with errors.

I have five data values each with an associated error. I want to find the mean of these values but also take the errors into account. How do I do this? Lets say the data values and errors are: ...
1answer
61 views

0answers
17 views

What are some error measures used for fitting PMFs?

I have a given PMF, $f_X(x)$, and am trying to create a fitted PMF, $g_X(x)$, that comes "as close as possible" to it, but am not sure what to use as a measure of fit. Simply minimizing standard error ...
0answers
28 views

Cost function for very sparse, real-valued data

Suppose the target output of my data prediction model is an $M\times N$ matrix where $95\%$ of the values are $0.0$ and the other values are anywhere between $0.0$ and $1.0$, what would be a good loss ...
0answers
184 views

Finding a relative error measure on a data set proportional to another

I have a set of exact data points $\mathcal{X}=\{X_i\}$ and another approximate one $\mathcal{Y}=\{Y_i\}$ where there is a correspondence between $X_i$ and $Y_i$ for all $i$. If $\mathcal{Y}$ was ...
0answers
44 views

Mean square relative error. Some considerations

I'm facing with the following mean square relative error $$\frac{1}{T}\sum_{t=1}^T s_t^2 = \frac{1}{T}\sum_{t=1}^T \left(\frac{a_t - b_t}{b_t}\right)^2$$ There are two circumstances I don't know how ...