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


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.


Download Citation

Wlodzimierz Bryc. "Conditional Moment Representations for Dependent Random Variables." Electron. J. Probab. 1 1 - 14, 1996.


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

Primary: 62J12
Secondary: 60E05 , 62J02

Keywords: ACE , alternating conditional expectation , Inverse problems

Vol.1 • 1996
Back to Top