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

Hiroki Masuda, Nakahiro Yoshida

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Abstract

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.

Original languageEnglish
Pages (from-to)37-48
Number of pages12
JournalStatistics and Probability Letters
Volume70
Issue number1
DOIs
Publication statusPublished - Oct 15 2004

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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