SECOND ORDER DOUBLE EDGEWORTH EXPANSION
IN A FILTERING MODEL BASED ON DISCRETE DATA


Hiroki MASUDA
Kyushu University
Fukuoka, Japan

Nakahiro YOSHIDA
University of Tokyo
Tokyo, Japan


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.



Back to the Workshop's Program