Adaptive prediction and reverse martingales

DOI10.1016/0304-4149(92)90059-YzbMath0763.60018OpenAlexW2085786865MaRDI QIDQ1201889

Björn Johansson, Thomas Björk

Publication date: 17 January 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(92)90059-y

zbMATH Keywords

optimal predictorinformation inequalitiesreverse martingaleprediction sufficiency

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Martingales with continuous parameter (60G44) Prediction theory (aspects of stochastic processes) (60G25) Markov processes (60J99)

Related Items (2)

In memoriam: Tomas Björk (1947--2021). On his career and beyond ⋮ Parameter estimation and reverse martingales

Cites Work

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• The extremal family generated by the Yule process
• Time reversal of diffusions
• Point processes and queues. Martingale dynamics
• Extremal families and systems of sufficient statistics
• Characterizations of prediction sufficiency (adequacy) in terms of risk functions
• Predictive likelihood: A review. With comments and a rejoinder by the author
• [https://portal.mardi4nfdi.de/wiki/Publication:4140092 The Markov processes of Schr�dinger]
• Estimation in the birth process

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