Two inequalities for conditional expectations and convergence results for filters

In this paper we prove, first of all, two inequalities for conditional expectations, from which we easily deduce a result by Landers and Rogge. Then we prove convergence results for conditional expectations of the form Pn[f(Xn)Yn] to a conditional expectation of the form P[f(X)Y]. We study, in particular, the case in which the random variables are of the type .

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Year of publication:	2005
Authors:	Crimaldi, Irene ; Pratelli, Luca
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 74.2005, 2, p. 151-162
Publisher:	Elsevier
Keywords:	Conditional expectation Convergence in distribution Convergence in total variation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259128