Review the linear regression
It would be beneficial, to begin with a review of linear regression to understand the concept of conditional predictions.
Review of the classical linear regression: model
Review of the classical linear regression Solution
Model-free predictive inference
Notes:
The significance of conditional prediction becomes less important if we use a model-free approach, where only linear models offer conditional predictions. However, if the original data isn't linear and we opt for a linear model, this choice will likely result in poor prediction performance, even if we utilize a conditional prediction. On the other hand, if we select an appropriate model, even a simple marginal prediction, without relying on conditionality, can yield satisfactory results.
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