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1996 Conditional Moment Representations for Dependent Random Variables
Wlodzimierz Bryc
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Electron. J. Probab. 1: 1-14 (1996). DOI: 10.1214/EJP.v1-7

Abstract

The question considered in this paper is which sequences of $p$-integrable random variables can be represented as conditional expectations of a fixed random variable with respect to a given sequence of sigma-fields. For finite families of sigma-fields, explicit inequality equivalent to solvability is stated; sufficient conditions are given for finite and infinite families of sigma-fields, and explicit expansions are presented.

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Wlodzimierz Bryc. "Conditional Moment Representations for Dependent Random Variables." Electron. J. Probab. 1 1 - 14, 1996. https://doi.org/10.1214/EJP.v1-7

Information

Accepted: 13 April 1996; Published: 1996
First available in Project Euclid: 25 January 2016

zbMATH: 0891.60004
MathSciNet: MR1386299
Digital Object Identifier: 10.1214/EJP.v1-7

Subjects:
Primary: 62J12
Secondary: 60E05, 62J02

JOURNAL ARTICLE
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Vol.1 • 1996
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