Sufficiency and efficiency in statistical prediction

DOI10.1016/j.spl.2006.07.021zbMath1106.62003OpenAlexW2047464718MaRDI QIDQ871011

Denis Bosq

Publication date: 15 March 2007

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

Full work available at URL: https://doi.org/10.1016/j.spl.2006.07.021

zbMATH Keywords

Markov processOrnstein-Uhlenbeck processstatistical predictionefficient predictorsprediction-sufficiencyunbiased predictors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Sufficient statistics and fields (62B05)

Cites Work

• Characterizations of prediction sufficiency (adequacy) in terms of risk functions
• Prediction sufficiency when the loss function does not depend on the unknown parameter
• On optimal prediction for stochastic processes
• On prediction and mean squared error
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