Mean integrated squared error

In statistics, the mean integrated squared error (MISE) is used in density estimation. The MISE of an estimate of an unknown probability density is given by

$E\|f_{n}-f\|_{2}^{2}=E\int (f_{n}(x)-f(x))^{2}\,dx$

where ƒ is the unknown density, ƒ_n is its estimate based on a sample of n iid random variables. E denotes the expected value with respect to that sample.

The MISE is also known as L² risk function.

See also

• Mean squared error