Adaptive prediction and reverse martingales

DOI10.1016/0304-4149(92)90059-YMaRDI QIDQ1201889zbMATH OpenOpenAlexFDO

Authors Björn Johansson, Tomas 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

information inequalitiesoptimal predictorprediction sufficiencyreverse martingale

Mathematics Subject Classification ID

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

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Cites work

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• Estimation in the birth process
• Extremal families and systems of sufficient statistics
• scientific article; zbMATH DE number 3155846 (Why is no real title available?)
• scientific article; zbMATH DE number 3984308 (Why is no real title available?)
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• Point processes and queues. Martingale dynamics
• Predictive likelihood: A review. With comments and a rejoinder by the author
• The extremal family generated by the Yule process
• The Markov processes of Schr�dinger
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Cited in

(11)

• Parameter estimation and reverse martingales
• On optimal prediction for stochastic processes
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• Bilateral prediction
• scientific article; zbMATH DE number 3989106 (Why is no real title available?)
• scientific article; zbMATH DE number 52631 (Why is no real title available?)
• scientific article; zbMATH DE number 125753 (Why is no real title available?)
• scientific article; zbMATH DE number 2230439 (Why is no real title available?)
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• In memoriam: Tomas Björk (1947--2021). On his career and beyond
• Sufficiency and efficiency in statistical prediction

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