A Nonlinear Filter with Fractional Gaussian Noise

被引：0
|
作者：
Elliott, Robert J. [1 ,2 ]
Deng, Jia [3 ]
机构：
[1] Univ Calgary, Haskayne Sch Business, Calgary, AB T2N 1N4, Canada
[2] Univ Adelaide, Sch Med, Adelaide, SA, Australia
[3] Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2011年 / 29卷 / 03期
关键词：
Change of measure; Fractional Gaussian noise; Nonlinear filter;
D O I：
10.1080/07362994.2011.564452
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Using a measure change, an exact estimate and an approximate recursive estimate are obtained for the conditional density of a hidden signal and a parameter in a state space model, where the hidden signal has deterministic dynamics and it is observed in fractional Gaussian noise.
引用
收藏
页码：503 / 510
页数：8
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