Cover Image

An application of the double Edgeworth expansion to a filtering model with Gaussian limit

In a class of continuous-time filtering models with Gaussian limit, we provide a practical scheme of an approximation of a conditional expectation given finite-dimensional observations, in the light of the double Edgeworth expansion. Simple and explicit expressions up to the second order are given, so that we can easily write a computer program.
Year of publication:
2004
Authors: Masuda, Hiroki ; Yoshida, Nakahiro
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 70.2004, 1, p. 37-48
Publisher: Elsevier
Keywords: Conditional expectation Double Edgeworth expansion Filtering problem
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005319262
Similar items by person