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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

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.

Suggested Citation

  • Masuda, Hiroki & Yoshida, Nakahiro, 2004. "An application of the double Edgeworth expansion to a filtering model with Gaussian limit," Statistics & Probability Letters, Elsevier, vol. 70(1), pages 37-48, October.
    • Handle: RePEc:eee:stapro:v:70:y:2004:i:1:p:37-48
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    References listed on IDEAS

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    1. Carter, C.K. & Kohn, R., "undated". "Markov Chain Monte Carlo in Conditionally Gaussian State Space Models," Statistics Working Paper _003, Australian Graduate School of Management.
    2. 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," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.
    2. 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.

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