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What is the difference between variance and Mean Square Error(MSE)?

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What is the difference between variance and Mean Square Error(MSE)?

asked Jan 23, 2013 in Statistics by starplayer (290 points)
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Variance measures the dispersion of an estimator around its mean, whereas the mean square error measures the dispersion around the true value of the parameter being estimated. If the estimator is unbiased then both are identical.

$V(T) = E[T-E(T)]^2$

whereas

$MSE = E(T-\mu)^2=E[T-E(T) +E(T)-\mu]^2 = V(T) +[Bias(T)]^2$

If $T$ is Unbiased for $\mu$ then $E(T) = \mu$, so $[Bias(T)]=0$. Hence $V(T) = MSE(T)$.

Hope you understand this...

answered Jan 23, 2013 by Varad (15,980 points)
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