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

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  • Masuda, Hiroki
  • Yoshida, Nakahiro
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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.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4D8VCD1-2/2/f5b9304ddce0601c1f64b92b5dd8785e
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 70 (2004)
    Issue (Month): 1 (October)
    Pages: 37-48

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    Handle: RePEc:eee:stapro:v:70:y:2004:i:1:p:37-48

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    Related research

    Keywords: Conditional expectation Double Edgeworth expansion Filtering problem;

    References

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    1. Yoshida, Nakahiro, 2003. "Conditional expansions and their applications," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 53-81, September.
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    Cited by:
    1. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CARF F-Series CARF-F-149, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.

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