Please do some targeted reading of section 2.3 in Foundations of Agnostic Statistics.
- Every student should read:
- The introduction on page 84
- Definition 2.3.1 Covariance Matrix
- Theorem 2.3.5 The CEF is the Minimum MSE Predictor through the end of the chapter on page 88
- The interested student can read the entire section (pages 84—88).