On optimal prediction for stochastic processes

DOI10.1016/S0378-3758(96)00201-7zbMATH Open0902.62118MaRDI QIDQ1372341FDOQ1372341

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)

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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)

Cites Work

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

Cited In (20)

• The concept of risk unbiasedness in statistical prediction
• On unstable and unoptimal prediction
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• Best unbiased prediction for Gaussian and log-Gaussian processes
• Title not available (Why is that?)
• On prediction and mean squared error
• Title not available (Why is that?)
• Sufficiency and efficiency in statistical prediction
• On best unbiased prediction and its relationships to unbiased estimation
• An application of the theory of equivalence of Gaussian measures to a prediction problem
• Optimal prediction and the Klein–Gordon equation
• On optimal prediction for stochastic processes
• Optimal prediction of underresolved dynamics
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
• Optimal prediction of level crossings in Gaussian processes and sequences
• On a nonlinear prediction problem for one-dimensional stochastic processes
• Bayesian prediction for stochastic processes: theory and applications
• Adaptive prediction and reverse martingales
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• On the two-sided predictable approximation for stochastic processes

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