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Variance as the minimum mean squared error of a constant
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...
Mathematics
Area of mathematics
Probability and statistics
Probability theory
Expected value
Variance
2026-10-03
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For
a
square
-integrable real
random variable
X
,
E
[(
X
−
a
)
2
]
=
Var
(
X
)
+
(
E
X
−
a
)
2
.
(1)
Thus the unique best constant predictor is
a
=
E
X
, and the minimum
mean squared error
is
Var
(
X
)
.
Ancestors
(7)
Variance
Expected value
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(2)
Past exam of the mathematics course of the University of Cambridge
/
2013
/
ia
/
Paper 2
/
3F
/
Solution
Past exam of the mathematics course of the University of Cambridge
/
2018
/
ii
/
Paper 1
/
27J
/
a
/
Solution
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