ThmDex – An index of mathematical definitions, results, and conjectures.
Bias-variance partition of mean square error for random basic real number
Formulation 0
Let $X \in \text{Random}(\mathbb{R})$ be a D3161: Random real number such that
(i) \begin{equation} \mathbb{E} |X|^2 < \infty \end{equation}
Let $a \in \mathbb{R}$ be a D993: Real number.
Then \begin{equation} \mathbb{E} |X - a|^2 = \text{Var} X - |\mathbb{E} X - a|^2 \end{equation}
Formulation 1
Let $X \in \text{Random}(\mathbb{R})$ be a D3161: Random real number such that
(i) \begin{equation} \mathbb{E} |X|^2 < \infty \end{equation}
Let $a \in \mathbb{R}$ be a D993: Real number.
Then \begin{equation} \mathbb{E} |X - a|^2 = \mathbb{E} |X - \mathbb{E} X|^2 - |\mathbb{E} X - a|^2 \end{equation}
Proofs
Proof 0
Let $X \in \text{Random}(\mathbb{R})$ be a D3161: Random real number such that
(i) \begin{equation} \mathbb{E} |X|^2 < \infty \end{equation}
Let $a \in \mathbb{R}$ be a D993: Real number.