Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models
type: Item
instance of: scholarly article
title: Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models
zbMATH Open document ID: 1058.62094
author: Michael A. Kouritzin
author: Yong Zeng
published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
publication date: 2005-02-09T00:00:00Z
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.
reviewed by: George Stoica
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62C10
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2132829
zbMATH Keywords: Conditional expectations
zbMATH Keywords: Filtering
zbMATH Keywords: Counting processes
MaRDI profile type: Publication
full work available at URL: j.na.2004.07.052
OpenAlex ID: W2053047727
cites work: Q3721531
cites work: Convergence in distribution of conditional expectations
cites work: Bayes Factors
cites work: BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
cites work: Weak limit theorems for stochastic integrals and stochastic differential equations
cites work: A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
cites work: Convergence results for conditional expectations
DOI: 10.1016/J.NA.2004.07.052
description: scientific article; zbMATH DE number 2132829