Tommaso Lando, Sergio Ortobelli, "On the Approximation of a Conditional Expectation," WSEAS Transactions on Mathematics, vol. 14, pp. 237-247, 2015, DOI:
Tommaso Lando, Sergio Ortobelli. On the Approximation of a Conditional Expectation.
WSEAS Transactions on Mathematics. 2015;14:237-247.
WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 14, 2015
On the Approximation of a Conditional Expectation
Authors: ,
Abstract: In this paper, we discuss how to approximate the conditional expectation of a random variable Y given a random variable X, i.e. E(Y|X). We propose and compare two different non parametric methodologies to approximate E(Y|X). The first approach (namely the OLP method) is based on a suitable approximation of the σ-algebra generated by X. A second procedure is based on the well known kernel non-parametric regression method. We analyze the convergence properties of the OLP estimator and we compare the two approaches with a simulation study.
Keywords:
Conditional Expectation, Kernel, Non Parametric methods, Regression, Approximation, Simulation
Pages: 237-247 WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 14, 2015, Art. #22 DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
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