On optimal prediction for stochastic processes

DOI10.1016/S0378-3758(96)00201-7MaRDI QIDQ1372341zbMATHFDO

Authors S. R. Adke, T. V. Ramanathan

Publication date 12 November 1997

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

convex lossunbiased estimationmean squared error of predictionuniformly minimum variancecomplete prediction sufficient statistic

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Sufficient statistics and fields (62B05)

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Cites work

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• A note on optimal vector unbiased predictor
• On optimal prediction for stochastic processes
• On prediction and mean squared error

Cited in

(21)

• Optimal prediction and the Klein–Gordon equation
• scientific article; zbMATH DE number 3424904 (Why is no real title available?)
• scientific article; zbMATH DE number 5240541 (Why is no real title available?)
• On the two-sided predictable approximation for stochastic processes
• Optimal prediction of underresolved dynamics
• A note on Bayesian prediction
• Best unbiased prediction for Gaussian and log-Gaussian processes
• Adaptive prediction and reverse martingales
• On unstable and unoptimal prediction
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
• Sufficiency and efficiency in statistical prediction
• Bayesian prediction for stochastic processes: theory and applications
• Optimal prediction of level crossings in Gaussian processes and sequences
• scientific article; zbMATH DE number 4189054 (Why is no real title available?)
• On best unbiased prediction and its relationships to unbiased estimation
• On prediction and mean squared error
• The concept of risk unbiasedness in statistical prediction
• An application of the theory of equivalence of Gaussian measures to a prediction problem
• On optimal prediction for stochastic processes
• scientific article; zbMATH DE number 3972036 (Why is no real title available?)
• On a nonlinear prediction problem for one-dimensional stochastic processes

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