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

被引：61
|
作者：
Le Breton, A [1 ]
机构：
[1] Univ Grenoble 1, LMCIIMAG, F-38041 Grenoble, France
来源：
STATISTICS & PROBABILITY LETTERS | 1998年 / 38卷 / 03期
关键词：
fractional Brownian motion; optimal filter; best linear unbiased estimator; maximum likelihood estimator;
D O I：
10.1016/S0167-7152(98)00029-7
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 1998 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：263 / 274
页数：12
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