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Linear filtering with fractional brownian motion

 

作者: M.L. Kleptsyna,   P.E. Kloeden,   V.V. Anh,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1998）
卷期: Volume 16, issue 5  

页码: 907-914

 

ISSN:0736-2994

 

年代: 1998

 

DOI:10.1080/07362999808809569

 

出版商: Marcel Dekker, Inc.

 

关键词: Linear Filtering Problem;Fractional Brownian Motion;Long-Range Dependence;Optimal Mean-Square Filter

 

数据来源: Taylor

 

摘要:

A Kalman type system of integral equations is obtained for the linear filtering problem in which the noise generating the signal is a fractional Brownian motion with long-range dependence. The error in applying the usual Kalman filter to this problem is determined explicitly for a simple example

 

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