Quote:
Originally Posted by Steve_Y
Thank you very much, Prof. MagdonIsmail, for the clarification, pointers, and encouragement!
Just one more question: in the quote above, when you said "there's some best ", did you mean the best in current hypothesis set for the current error measure, independent of N? For example, if consists of linear models and the error measure is mean squared error, then would be the LMMSE estimate? Thanks a lot!

Yes, best
in the current hypothesis set
(and
should be fixed as you increase N). Note, bias and var are only defined for the MSE error measure, and yes
would be the least MSE estimate that is available within
(so
is independent of N)?