Mean Squared Error - Applications

Applications

• Minimizing MSE is a key criterion in selecting estimators:see Minimum mean-square error. Among unbiased estimators, the minimal MSE is equivalent to minimizing the variance, and is obtained by the MVUE. However, a biased estimator may have lower MSE; see estimator bias.

• In statistical modelling the MSE, representing the difference between the actual observations and the response predicted by the model, is used to determine whether the model does not fit the data or whether the model can be simplified by removing terms.