An application of the double Edgeworth expansion to a filtering model with Gaussian limit

DOI10.1016/J.SPL.2004.08.002zbMath1107.62101OpenAlexW2139621399MaRDI QIDQ868269

Hiroki Masuda, Nakahiro Yoshida

Publication date: 2 March 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.08.002

zbMATH Keywords

conditional expectationfiltering problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Unnamed Item
• Processes of normal inverse Gaussian type
• Conditional expansions and their applications.
• Markov chain Monte Carlo in conditionally Gaussian state space models
• Partial non-Gaussian state space
• The Monte-Carlo method for filtering with discrete-time observations

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