Prediction and estimation of random variables with infinite mean or variance

In this paper we propose an optimal predictor of a random variable that has either an infinite mean or an infinite variance. The method consists of transforming the random variable such that the transformed variable has a finite mean and finite variance. The proposed predictor is a generalized arith...

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Bibliographische Detailangaben

Hauptverfasser:	de la Pena, Victor, Gzyl, Henryk, Mayoral, Silvia, Zou, Haolin, Alemayehu, Demissie
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Statistics Theory Statistics - Methodology Statistics - Theory
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