Multivariate Cramér-Rao inequality for prediction and efficient predictors

DOI10.1016/J.SPL.2010.12.007zbMath1207.62124OpenAlexW2085000587MaRDI QIDQ631548

Emmanuel Onzon

Publication date: 14 March 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.12.007

zbMATH Keywords

predictionCramér-Rao inequalityFisher informationinformation inequalityefficient predictor

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Inequalities; stochastic orderings (60E15)

Related Items (1)

Bayesian prediction for stochastic processes: theory and applications

Cites Work

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• On the attainment of the Cramér-Rao bound in \({\mathbb{L}}_ r\)- differentiable families of distributions
• Selection of the best population in models with nuisance parameters.
• On prediction and mean squared error
• Rao–Cramer Type Inequalities for Mean Squared Error of Prediction
• Inference and Prediction in Large Dimensions
• A generalized bivariate exponential distribution

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