Does the average of a random sample minimizes MSE when you "know nothing about the distribution"? Consider any random variable $X$ and any random sample $(X_1,\dots, X_n)$ such that $X_i \sim X$.
As is well-known, $E(X)$ is the constant that minimizes the MSE of $X$, i.e., $E(X) = \arg\min_a E[(a-X)^2]$.
It seems that the minimizer does not change if we consider minimization over statistics from the random sample $m(X_1,\dots, X_n)$ instead, i.e., $\arg\min_{m(X_1,\dots, X_n)} E[(m(X_1,\dots, X_n)-X)^2]$ is the constant function $m(X_1,\dots, X_n) = E(X)$ for all $(X_1,\dots, X_n)$.
Informally, we don't really care about the random sample. If I am asking "what is the best function of random sample $(X_1,\dots, X_n)$ to predict $X$" (and "better prediction" is in terms of MSE), the answer remains: A constant function that's always equal to $E(X)$ that does not depend on the sample, but "implicitly assumes" you know $E(X)$.
What I am trying to do, if that's possible at all, is to formalize the idea/intuition that, if you did not know anything about $X$ ---  and in particular, if you knew nothing about $E(X)$ --- then the best prediction would be $m(X_1,\dots, X_n) = \frac{1}{n} \sum_{i=1}^n X_i$.
My question is: Is there a standard statistical sense in which this is true?
I've tried to formalize this in a Bayesian sense, but I am struggling to

*

*Model the idea that "you don't know anything about the distribution" (to the point where I doubt whether that's feasible at all), and

*Make a general argument that's not dependent on a particular class of distribution (again, to the point where I doubt whether that's feasible at all).

Essentially, any assumption I make about the distributions of $X$ and $E(X) = \theta$ is tantamount to assuming "something is known" about the distribution $X$ and ends up creeping into the solution for the minimizer.
I am guessing I should use an uninformative prior for $\theta$ (https://www.statlect.com/fundamentals-of-statistics/uninformative-prior). Maybe I should look at the limit of a "flatter and flatter" and "wider and wider" discrete uniform for $\theta$. But I still don't know how to handle trying to make "as little assumption as possible" on the distribution of $X$ and argue that $m(X_1,\dots, X_n) = \frac{1}{n} \sum_{i=1}^n X_i$ is the best predictor (if that's doable at all).
Clarification following Dave's answer: I think I understand that the sample average $\bar{X}$ is the best MSE estimator of $E(X)$. I also understand that $E(X)$ is the best MSE predictor of $X$ itself. Part of what I am missing seems to be a connection between these two facts that would allow me to conclude that the $\bar{X}$ is the best MSE predictor of $X$. What I am after is a sense in which $\bar{X} = \arg\min_{m(X_1,\dots, X_n)} E[(m(X_1,\dots, X_n)-X)^2]$. I understand that, as is, the latter is wrong since the minimizer is a constant function always equals $E(X)$.
But I am wondering whether it is true in some sense provided one does not have any information about the distribution of $X$ (and in particular about $E(X)$).
 A: Ok, with the help of Whuber's comments and Dave's answer, I think I now have an answer to part of my question.
Let $\textbf{X} = (X_1, \dots, X_n)$. As Whuber suggested in the comments:
$$\begin{align}
E[(m(\textbf{X})-X)^2] & =  E[(m(\textbf{X}) - E(X) + E(X)- X)^2]\\
& =  E[(m(\textbf{X}) - E(X))^2 + 2*[m(\textbf{X}) - E(X)]*[E(X)- X] + (E(X)- X)^2]\\
& =  E[(m(\textbf{X}) - E(X))^2] + \underbrace{2*E{[m(\textbf{X}) - E(X)]*E[E(X)- X]}}_{=0} + E[(E(X)- X)^2] \\
& = E[(m(\textbf{X}) - E(X))^2] + Var(X)
\end{align}$$
So minimizing $E[(m(\textbf{X})-X)^2]$ is a matter of minimizing $E[(m(\textbf{X}) - E(X))^2]$.
Of course, the minimizer thereof remains $m(\textbf{X}) = E(X)$. That is, if you knew $E(X)$, you could still use that value as your best prediction and disregard any information from the random sample $\textbf{X}$.
But if you don't know $E(X)$, "a good way" to estimate it and limit $E[(m(\textbf{X}) - E(X))^2]$ is to use $m(\textbf{X}) = \bar{\textbf{X}}$. I still don't quite understand in what sense (or rather in which informational situations about the distribution of $X$) $m(\textbf{X}) = \bar{\textbf{X}}$ minimizes $E[(m(\textbf{X}) - E(X))^2]$, but I might be able to live with that.
A: It’s just a calculus problem.
$$\bar X=
\frac{1}{n}\sum_{i=1}^n X_i =\underset{\theta\in\mathbb R}{\arg\min}\left\{
\sum_{i=1}^n
(
X_i-\theta
)^2
\right\}
$$
When you differentiate the sum of squares in the $\arg\min$, you find that the derivative is zero when $\theta=\bar X$ for any numbers $X_i$, and further calculus shows that to be the minimum.
