On the Optimality of Conditional Expectation as a Bregman Predictor
نویسندگان
چکیده
منابع مشابه
On the optimality of conditional expectation as a Bregman predictor
Given a probability space (Ω,F , P ), a F -measurable random variable X , and a sub-σ-algebra G ⊂ F , it is well known that the conditional expectation E[X|G] is the optimal L-predictor (also known as the least mean square error predictor) of X among all the G-measurable random variables [8, 11]. In this paper, we provide necessary and sufficient conditions under which the conditional expecta...
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ژورنال
عنوان ژورنال: IEEE Transactions on Information Theory
سال: 2005
ISSN: 0018-9448
DOI: 10.1109/tit.2005.850145