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.