The minimum mean square estimator of integrable variables under sublinear operators

DOI10.1080/17442508.2019.1641091zbMATH Open1490.60132arXiv1903.02404OpenAlexW2964104491WikidataQ127515644 ScholiaQ127515644MaRDI QIDQ5086492FDOQ5086492

Authors: Shaolin Ji, Chuiliu Kong, Chuanfeng Sun 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper, we study the minimum mean square estimator for non-bounded random variables under sublinear operators. The existence and uniqueness of the minimum mean square estimator are obtained. Several properties of the minimum mean square estimator for non-bounded random variables are proved under some mild assumptions.

Full work available at URL: https://arxiv.org/abs/1903.02404

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zbMATH Keywords

\(g\)-expectationsublinear operatorsquare integrableminimum mean square estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

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Cited In (6)

• Least squares estimator for \(\alpha\)-sub-fractional bridges
• Title not available (Why is that?)
• Kalman-Bucy filtering and minimum mean square estimator under uncertainty
• The least squares estimator of random variables under sublinear expectations
• The least squares estimator of random variables under convex operators on \(L_{\mathcal{F}}^\infty (\mu)\) space
• A robust Kalman-Bucy filtering problem

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