Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models (Q707219)
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scientific article; zbMATH DE number 2132829
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| English | Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models |
scientific article; zbMATH DE number 2132829 |
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Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models (English)
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9 February 2005
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Weak convergence of a type of conditional expectations provides a direct proof of Goggin's theorem [see \textit{E.M. Goggin}, Ann. Probab. 22, 1097--1114 (1994; Zbl 0805.60017); IEEE Trans Inf. Theory 39, No. 6, 1967--1972 (1993; Zbl 0802.60031)], and further proves consistency of the likelihood, and posterior and Bayes factors for a class of transactional asset price models.
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Conditional expectations
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Filtering
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Counting processes
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0.7333498001098633
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0.7333498001098633
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0.7330577373504639
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