Essentials of Time Series for Financial Applications

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The filtered probabilities are the product of a limited information recursive technique, because despite the availability of a sample of size $T$, each ${\stackrel{\mathbf{ˆ}}{\mathit{\xi }}}_{t|t}$ is filtered out of the information set ${\Im }_t$ only, ignoring ${\left\{{\mathbf{y}}_{\tau }\right\}}_{\tau =t+1}^T$. However, once the ...