The minimum mean square estimator of integrable variables under sublinear operators |
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| Authors: | Shaolin Ji Chuanfeng Sun |
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| Institution: | 1. Zhongtai Institute of Finance, Shandong University, Jinan, Shandong, People's Republic of China;2. School of Mathematical Sciences, University of Jinan, Jinan, Shandong, People's Republic of China |
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| Abstract: | In this paper, we study the minimum mean square estimator for non-bounded random variables under sublinear operators. The existence and uniqueness of the minimum mean square estimator are obtained. Several properties of the minimum mean square estimator for non-bounded random variables are proved under some mild assumptions. |
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| Keywords: | Minimum mean square estimator sublinear operator square integrable g-expectation |
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