We study prediction problems for models where the underlying probability measure is not known. These problems are intimately connected with time reversal of Markov processes, and optimal predictors are shown to be characterized by being reverse martingales. For a class of diffusions we give a...

Within the framework of transitive sufficient processes we investigate identifiability properties of unknown parameters. In particular we consider unbiased parameter estimators, which are shown to be closely connected to time reversal and to reverse martingales. One of the main results is that,...