A PDE Approach to the Problems of Optimality of Expectations
Let (X, Z) be a bivariate random vector. A predictor of X based on Z is just a Borel function g(Z). The problem of "least squares prediction" of X given the observation Z is to find the global minimum point of the functional E[(X − g(Z))2] with respect to all random variables g(Z), where g...
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| Format: | Article |
| Language: | English |
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Etamaths Publishing
2023-06-01
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| Series: | International Journal of Analysis and Applications |
| Online Access: | http://etamaths.com/index.php/ijaa/article/view/2824 |