A Comment on Best Invariant Predictors
The Annals of Statistics · 1982 · Volume 10 · Issue 3
Abstract
A statistical prediction problem invariant under a certain group of transformations is considered. Under several assumptions it is shown that the best invariant predictor is obtained by using the invariant measure on the group. This result is an extension of that of Hora and Buehler.
Keywords
62A05, 62F99, invariant measure, invariant predictor, transformation group
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