Hiroki MASUDA - Abstract
Hiroki MASUDA - Abstract![](/fr/seminaires-conferences/archives/workshop/workshop-s-a-p-s-v-6-8-janvier-2005-1/workshop-s-a-p-s-v-6-8-janvier-2005/hiroki-masuda-abstract/_attachment/image-header.jpg)
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.