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Linear fractional stable motion: A wavelet estimator of the parameter

✍ Scribed by Antoine Ayache; Julien Hamonier

Book ID
116890516
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
218 KB
Volume
82
Category
Article
ISSN
0167-7152

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πŸ“œ SIMILAR VOLUMES

Filtering and parameter estimation in a
Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
✍ Alain Le Breton πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 520 KB

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.