On optimal linear prediction

The main purpose of this article is to show that, under certain assumptions in a linear prediction setting, near‐optimal methods based upon model reduction can be provided. The optimality is formulated in terms of the expected mean squared prediction error. The optimal model reduction turns out, under a certain assumption, to correspond to the statistical model for partial least squares (PLS) regression discussed by the author elsewhere, and under a certain specific condition, a PLS‐like predictor is proved to be good compared to other predictors. It is also proved in this article that the situation with two different model reductions can be fit into a quantum mechanical setting. Thus, the article contains a synthesis of three cultures: Mathematical statistics as a basis, algorithms introduced by chemometricians and used very much by applied scientists as a background, and finally, notions from quantum foundations as an alternative point of view.