Multivariate Cramér-Rao inequality for prediction and efficient predictors

Emmanuel Onzon

Statistics & Probability Letters, 2011, vol. 81, issue 3, 429-437

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: Cramer-Rao; inequality; Efficient; predictor; Information; inequality; Prediction; Fisher; information (search for similar items in EconPapers)
Date: 2011
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