Mean squared prediction error

In statistics the mean squared prediction error of a smoothing or curve fitting procedure is the expected value of the squared difference between the fitted values and the (unobservable) function g. If the smoothing procedure has operator matrix L, then
The MSPE can be decomposed into two terms (just like mean squared error is decomposed into bias and variance); however for MSPE one term is the sum of squared biases of the fitted values and another the sum of variances of the fitted values:
Note that knowledge of g is required in order to calculate MSPE exactly.
Estimation of MSPE
For the model where , one may write
The first term is equivalent to
Thus,
If is known or well-estimated by , it becomes possible to estimate MSPE by
Colin Mallows advocated this method in the construction of...