On estimation of random variables via the martingale convergence theorem (Q1103982)
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scientific article; zbMATH DE number 4054786
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On estimation of random variables via the martingale convergence theorem |
scientific article; zbMATH DE number 4054786 |
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On estimation of random variables via the martingale convergence theorem (English)
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1988
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Conditional expectation and the martingale convergence theorem are frequently used in attempts to estimate a random variable as a function of other random variables. Examples are exhibited which illustrate difficulties arising from a careless approach to these techniques. Real- valued random variables, including a Gaussian random variable, are constructed such that the martingale convergence theorem, or any scheme based on conditional expectation, can fail to be of any value whatsoever in estimating them.
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estimation of random variables
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Borel measurable
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martingale convergence theorem
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Gaussian random variable
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conditional expectation
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