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- W1990074734 abstract "Abstract 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 ( Scand. J. Statist . (1990) 17, 135–145) in the prediction context to an arbitrary convex loss function. Two situations in which the problem of obtaining an unbiased predictor with minimum mean squared error of prediction can be reduced to UMVU estimation of an appropriate parametric function are described. The inadequacy of Rao-Blackwellization of an unbiased predictor when the prediction sufficient statistic is not complete is illustrated with two examples." @default.
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- W1990074734 date "1997-09-01" @default.
- W1990074734 modified "2023-09-30" @default.
- W1990074734 title "On optimal prediction for stochastic processes" @default.
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- W1990074734 doi "https://doi.org/10.1016/s0378-3758(96)00201-7" @default.
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