Hiroki MASUDA - Abstract

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.