Multivariate Cramér-Rao inequality for prediction and efficient predictors |
| |
| Authors: | Emmanuel Onzon |
| |
| Institution: | Université Pierre et Marie Curie - Paris 6, LSTA, Tour 15-25, 2ème étage, Bureau 026,4 place Jussieu, 75252 Paris cedex 05, France |
| |
| 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. |
| |
| Keywords: | Cramé r-Rao inequality Efficient predictor Information inequality Prediction Fisher information |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
