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On criteria of optimality in estimation for stochastic processes

✍ Scribed by C.C. Heyde


Book ID
107950291
Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
68 KB
Volume
26
Category
Article
ISSN
0304-4149

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The problem of prediction is concerned with predicting an unobserved random variable using a data dependent statistic. We extend the Rao-Blackwell theorem of Johansson (Stand. J. Stati~t. (1990) 17, 135 145) in the prediction context to an arbitrary convex loss function. Two situations in which the