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Old 10-04-2017, 11:24 AM
DeSLex DeSLex is offline
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Join Date: Jul 2017
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Default Problem 4.4: Interpretation

Can someone confirm if this interpretation of "experiment" in part (d) is correct? I think we have nested loops:

for each choice of Q sub f, N, and sigma
{
Define the normalizing constant c sup 2 = E sub a, x (f sup 2).
for each choice of coefficients {a sub q: q = 1,..., Q} from standard normal distributions
{
f(x) = sum from 1 to Q (a sub q L sub q (x)) / c
for n = 1 to N
y sub n = f(x sub n) + sigma epsilon sub n
Find E sub out (g sub 2) and E sub out (g sub 10)
}
}
The reason for all this detail is that I was unclear about what the conditional distribution p(y|x) might be. I think now that in each iteration of the second nested loop, we fix a choice of {a sub q}; given these coefficients, f becomes a deterministic function of x and the only randomness in y sub n is due to epsilon sub n.

As a result, we have a different joint distribution P(x, y) for each choice of {a sub q}. We also have a different target function for each {a sub q}.

The repeated experiments in (d), with fixed Q, N, and sigma, lead to one E sub out (g) for each set of coefficients {a sub q}. E sub out (g) is a function of the normal random vector (a sub 1, ..., a sub Q). The average of the out-of-sample errors is empirical mean of the distribution of E sub out.
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