Multivariate Cramér-Rao inequality for prediction and efficient predictors |
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| Authors: | Emmanuel Onzon |
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| Affiliation: | Université Pierre et Marie Curie - Paris 6, LSTA, Tour 15-25, 2ème étage, Bureau 026,4 place Jussieu, 75252 Paris cedex 05, France |
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| Abstract: | ![]()
We derive and discuss a matricial Cramér-Rao type inequality for the quadratic prediction error matrix. A study of the attainment of the bound follows. Then we introduce an unbiased predictor for a bivariate Poisson process and prove that it is efficient, i.e. its quadratic error attains the Cramér-Rao bound. |
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| Keywords: | Cramé r-Rao inequality Efficient predictor Information inequality Prediction Fisher information |
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