On Efficient Point Prediction Systems
论有效的点预测系统
Summary Assume that a forecaster observes a sequence of random variables and issues predictions according to a point prediction systems, i.e. a rule which, at every time t, issues a point prediction for the next observation at time t+1. We introduce the concept of efficiency of a point prediction system, for the case that the joint distribution of the sequence of observations is known to belong to a parametric family, and performance is assessed by the long run sum of…