Limits of conditional expectations

DOI10.1109/18.265505MaRDI QIDQ4307475zbMATH OpenOpenAlexFDO

Authors Eimear M. Goggin

Publication date 15 December 1994

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.265505

zbMATH Keywords

absolutely continuous change of measureconvergence of filtering approximationsfiltering applicationstochastic difference equations

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Convergence in distribution of conditional expectations
• An L ¹Approximation for conditional expectations
• Convergence of filters with applications to the Kalman-Bucy case

Cited in

(10)

• On the stability problem for conditional expectation
• Convergence in distribution of conditional expectations
• Robustness of the nonlinear filter
• Small perturbations of Gaussian regressors
• Convergence results for conditional expectations
• Two inequalities for conditional expectations and convergence results for filters
• Conditional independence and conditioned limit laws
• An L ¹Approximation for conditional expectations
• Convergence of filters with applications to the Kalman-Bucy case
• An application of the double Edgeworth expansion to a filtering model with Gaussian limit

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