This paper discusses a range of important mathematical issues arising in applications of a newly emerging stochastic-statistical framework for quantifying and mitigating uncertainties associated with prediction of partially observed and imperfectly modelled complex turbulent dynamical systems. The need for such a framework is particularly severe in climate science where the true climate system is vastly more complicated than any conceivable model; however, applications in other areas, such as neural networks and materials science, are just as important. The mathematical tools employed here rely on empirical information theory and fluctuation-dissipation theorems (FDTs) and it is shown that they seamlessly combine into a concise systematic framework for measuring and optimizing consistency and sensitivity of imperfect models. Here, we utilize a simple statistically exactly solvable perfect system with intermittent hidden instabilities and with time-periodic features to address a number of important issues encountered in prediction of much more complex dynamical systems. These problems include the role and mitigation of model error due to coarse-graining, moment closure approximations, and the memory of initial conditions in producing short, medium and long-range predictions. Importantly, based on a suite of increasingly complex imperfect models of the perfect test system, we show that the predictive skill of the imperfect models and their sensitivity to external perturbations is improved by ensuring their consistency on the statistical attractor (i.e. the climate) with the perfect system. Furthermore, the discussed link between climate fidelity and sensitivity via the FDT opens up an enticing prospect of developing techniques for improving imperfect model sensitivity based on specific tests carried out in the training phase of the unperturbed statistical equilibrium/climate.