On estimation of random variables via the martingale convergence theorem
type: Item
instance of: scholarly article
title: On estimation of random variables via the martingale convergence theorem
zbMATH Open document ID: 0646.62007
DOI: 10.1016/0167-6911(88)90112-0
author: Gary L. Wise
author: Alan E. Wessel
published in: Systems \& Control Letters
publication date: 1988-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62B99
Mathematics Subject Classification ID: 60G42
zbMATH DE Number: 4054786
zbMATH Keywords: estimation of random variables
zbMATH Keywords: Borel measurable
zbMATH Keywords: martingale convergence theorem
zbMATH Keywords: Gaussian random variable
zbMATH Keywords: conditional expectation
MaRDI profile type: Publication
full work available at URL: 0167-6911(88)90112-0
OpenAlex ID: W2071269556
cites work: Q4606219
cites work: Q4197800
cites work: Q5822308
cites work: Q5726943
cites work: Q4165953
cites work: A note on a common misconception in estimation
description: scientific article; zbMATH DE number 4054786