Consider the regression problem with a response variable Y and a feature vector X. For the regression function m(x)= E{Y ∣ X=x}, we introduce new and simple estimators of the minimum mean squared error L*=E{(Y — m(X))2}, and prove their strong consistencies. We bound the rate of convergence, too.
CITATION STYLE
Devroye, L., Ferrario, P. G., Györfi, L., & Walk, H. (2013). Strong universal consistent estimate of the minimum mean squared error. In Empirical Inference: Festschrift in Honor of Vladimir N. Vapnik (pp. 143–160). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-41136-6_14
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