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A Nonlinear Filter with Fractional Gaussian Noise.

Authors :
Elliott, Robert J.
Deng, Jia
Source :
Stochastic Analysis & Applications. May/Jun2011, Vol. 29 Issue 3, p503-510. 8p.
Publication Year :
2011

Abstract

Using a measure change, an exact estimate and an approximate recursive estimate are obtained for the conditional density of a hidden signal and a parameter in a state space model, where the hidden signal has deterministic dynamics and it is observed in fractional Gaussian noise. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*RANDOM noise theory
*SIGNAL processing
*NONLINEAR theories
*ESTIMATION theory
*APPROXIMATION theory
*AUTOMATIC control systems
*GAUSSIAN processes

Details

Language :
English
ISSN :
07362994
Volume :
29
Issue :
3
Database :
Academic Search Index
Journal :
Stochastic Analysis & Applications
Publication Type :
Academic Journal
Accession number :
60294585
Full Text :
https://doi.org/10.1080/07362994.2011.564452
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