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On the linear prediction problem for certain stochastic processes

✍ Scribed by Harald Cramér


Book ID
112789098
Publisher
Springer Netherlands
Year
1960
Tongue
English
Weight
421 KB
Volume
4
Category
Article
ISSN
0004-2080

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On optimal prediction for stochastic pro
✍ S.R. Adke; T.V. Ramanathan 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 332 KB

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