๐”– Bobbio Scriptorium
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Wavelet estimation of fractional Brownian motion embedded in a noisy environment

โœ Scribed by Lei Zhang; Bao, P.; Xiaolin Wu


Book ID
114638427
Publisher
IEEE
Year
2004
Tongue
English
Weight
337 KB
Volume
50
Category
Article
ISSN
0018-9448

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โœ Alain Le Breton ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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.