ESTIMATION OF DRIFT PARAMETER AND CHANGE POINT VIA KALMAN-BUCY FILTER FOR LINEAR SYSTEMS WITH SIGNAL DRIVEN BY A FRACTIONAL BROWNIAN MOTION AND OBSERVATION DRIVEN BY A BROWNIAN MOTION

被引：1

作者：

Mishra, Mahendra Nath ^{[1
]}

Rao, Bhagavatula Lakshmi Surya Prakasa ^{[2
]}

机构：

[1] Inst Math & Its Applicat, Bhuvaneswar, India

[2] CR Rao Adv Inst Math Stat & Comp Sci, Hyderabad, India

来源：

JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY | 2018年 / 55卷 / 05期

关键词：

fractional Brownian motion; linear systems; optimal filtering; Kalman-Bucy filter; innovation process;

D O I：

10.4134/JKMS.j170463

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

引用

页码：1063 / 1073

页数：11

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