Two inequalities for conditional expectations and convergence results for filters

被引：5

作者：

Crimaldi, I

Pratelli, L

机构：

[1] Univ Bologna, Dept Math, I-40126 Bologna, Italy

[2] Accad Navale, Grp Insegnamento Matemat, I-57100 Livorno, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2005年 / 74卷 / 02期

关键词：

conditional expectation; convergence in distribution; convergence in total variation;

D O I：

10.1016/j.spl.2005.04.039

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we prove, first of all, two inequalities for conditional expectations, from which we easily deduce a result by Landers and Rogge. Then we prove convergence results for conditional expectations of the form P-n [f(X-n)vertical bar Y-n] to a conditional expectation of the form P[f(X)vertical bar Y]. We study, in particular, the case in which the random variables Y-n, Y are of the type h(n)(X-n), h(X). (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：151 / 162

页数：12