DocumentCode
2053834
Title
Optimal Bregman prediction and Jensen´s equality
Author
Banerjee, Arindam ; Guo, Xin ; Wang, Hui
Author_Institution
Dept. of Electr. & Comput. Eng., Texas Univ., Austin, TX, USA
fYear
2004
fDate
27 June-2 July 2004
Firstpage
169
Abstract
This paper provides necessary and sufficient conditions for general loss functions under which the conditional expectation is the unique optimal predictor of a random variable. Further, using such loss functions, we give an exact characterization of the difference between the two sides of Jensen´s inequality.
Keywords
optimisation; prediction theory; random processes; stochastic processes; Jensen´s inequality; optimal Bregman prediction; random variable; Euclidean distance; Least squares methods; Random variables; Sufficient conditions;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Theory, 2004. ISIT 2004. Proceedings. International Symposium on
Print_ISBN
0-7803-8280-3
Type
conf
DOI
10.1109/ISIT.2004.1365205
Filename
1365205
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