Convergence in Distribution of Conditional Expectations
Goggin, Eimear M.
Ann. Probab., Tome 22 (1994) no. 4, p. 1097-1114 / Harvested from Project Euclid
Suppose the random variables $(X^N, Y^N)$ on the probability space $(\Omega^N, \mathscr{F}^N, P^N)$ converge in distribution to the pair $(X, Y)$ on $(\Omega, \mathscr{F}, P)$, as $N \rightarrow \infty$. This paper seeks conditions which imply convergence in distribution of the conditional expectations $E^{P^N}\{F(X^N)\mid Y^N\}$ to $E^P\{F(X)\mid Y\}$, for all bounded continuous functions $F$. An absolutely continuous change of probability measure is made from $P^N$ to a measure $Q^N$ under which $X^N$ and $Y^N$ are independent. The Radon-Nikodym derivative $dP^N/dQ^N$ is denoted by $L^N$. Similarly, an absolutely continuous change of measure from $P$ to $Q$ is made, with Radon-Nikodym derivative $dP/dQ = L$. If the $Q^N$-distribution of $(X^N, Y^N, L^N)$ converges weakly to the $Q$-distribution of $(X, Y, L)$, convergence in distribution of $E^{P^N}\{F(X^N)\mid Y^N\}$ (under the original distributions) to $E^P\{F(X)\mid Y\}$ follows. Conditions of a uniform equicontinuity nature on the $L^N$ are presented which imply the required convergence. Finally, an example is given, where convergence of the conditional expectations can be shown quite easily.
Publié le : 1994-04-14
Classification:  Conditional expectations,  filtering,  absolutely continuous change of probability measure,  Radon-Nikodym derivative,  equicontinuity,  60F05,  94A05
@article{1176988743,
     author = {Goggin, Eimear M.},
     title = {Convergence in Distribution of Conditional Expectations},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 1097-1114},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988743}
}
Goggin, Eimear M. Convergence in Distribution of Conditional Expectations. Ann. Probab., Tome 22 (1994) no. 4, pp.  1097-1114. http://gdmltest.u-ga.fr/item/1176988743/