The minimum error entropy (MEE) criterion finds extensive utility across diverse applications, particularly in contexts characterized by non-Gaussian noise. However, its computational demands are notable, and are primarily attributable to the double summation operation involved in calculating the probability density function (PDF) of the error. To address this, our study introduces a novel approach, termed the fast minimum error entropy (FMEE) algorithm, aimed at mitigating computational complexity through the utilization of polynomial expansions of the error PDF. Initially, the PDF approximation of a random variable is derived via the Gram–Charlier expansion. Subsequently, we proceed to ascertain and streamline the entropy of the random variable. Following this, the error entropy inherent to the linear regression model is delineated and expressed as a function of the regression coefficient vector. Lastly, leveraging the gradient descent algorithm, we compute the regression coefficient vector corresponding to the minimum error entropy. Theoretical scrutiny reveals that the time complexity of FMEE stands at O(n), in stark contrast to the O(n2) complexity associated with MEE. Experimentally, our findings underscore the remarkable efficiency gains afforded by FMEE, with time consumption registering less than 1‰ of that observed with MEE. Encouragingly, this efficiency leap is achieved without compromising accuracy, as evidenced by negligible differentials observed between the accuracies of FMEE and MEE. Furthermore, comprehensive regression experiments on real-world electric datasets in northwest China demonstrate that our FMEE outperforms baseline methods by a clear margin.