Title :
Limits of conditional expectations
Author_Institution :
Dept. of Math., Iowa State Univ., Ames, IA
fDate :
11/1/1993 12:00:00 AM
Abstract :
Convergence of conditional expectations is considered. The convergence results for conditional expectations are shown to be the same as when the absolutely continuous change of measure can be made directly. A filtering application is examined. If the approximating model uses noise increments with a density which must have compact support, conditions are given which ensure the expected convergence of the conditional expectations
Keywords :
convergence; filtering and prediction theory; statistical analysis; conditional expectations limits; convergence; density; filtering application; noise increments; Arithmetic; Entropy; Huffman coding; Notice of Violation; Redundancy; Signal processing; Signal processing algorithms; Speech processing;
Journal_Title :
Information Theory, IEEE Transactions on
