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math.ST2023
Prediction and estimation of random variables with infinite mean or variance
Victor de la Pena, Henryk Gzyl, Silvia Mayoral +2
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…
math.ST2018
Prediction in Riemannian metrics derived from divergence functions
Henryk Gzyl
Divergence functions are interesting discrepancy measures. Even though they are not true distances, we can use them to measure how separated two points are. Curiously enough, when…
math.ST2015
Sample dependence in the maximum entropy solution to the generalized moment problem
Henryk Gzyl
The method of maximum entropy is quite a powerful tool to solve the generalized moment problem, which consists of determining the probability density of a random variable X from th…