✦ LIBER ✦

Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion

✍ Scribed by Alain Le Breton

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 520 KB
Volume: 38
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(98)00029-7

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✦ Synopsis

The optimal filter is derived in a Gaussian linear system where the signal is a fixed random variable and the observation is driven by a fractional Brownian motion. An application to a related parameter estimation problem is discussed and a Girsanov-type formula is investigated.