Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models
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.
scientific article; zbMATH DE number 2132829