Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models

DOI10.1016/J.NA.2004.07.052MaRDI QIDQ707219zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin, Yong Zeng

Publication date 9 February 2005

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2004.07.052

zbMATH Keywords

Conditional expectationsCounting processesFiltering

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Bayesian problems; characterization of Bayes procedures (62C10) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

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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Cites work

• A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
• Bayes Factors
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• Convergence in distribution of conditional expectations
• Convergence results for conditional expectations
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(7)

• Residual and stratified branching particle filters
• Microstructure models with short-term inertia and stochastic volatility
• A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
• Explicit Heston solutions and stochastic approximation for path-dependent option pricing
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• A unifying approach for the pricing of debt securities

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