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 inequalitiesreverse martingaleprediction sufficiencyoptimal predictor

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(9)

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

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