Adelaide Research & Scholarship
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https://hdl.handle.net/2440/93994
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| Type: | Journal article |
| Title: | A nonlinear filter with fractional gaussian noise |
| Author: | Elliott, R. Deng, J. |
| Citation: | Stochastic Analysis and Applications, 2011; 29(3):503-510 |
| Publisher: | Taylor & Francis |
| Issue Date: | 2011 |
| ISSN: | 0736-2994 1532-9356 |
| Statement of Responsibility: | Robert J. Elliott & Jia Deng |
| Abstract: | 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. |
| Keywords: | Change of measure; Fractional Gaussian noise; Nonlinear filter; 93E11; 60G22 |
| Rights: | © Taylor & Francis Group, LLC |
| DOI: | 10.1080/07362994.2011.564452 |
| Published version: | http://dx.doi.org/10.1080/07362994.2011.564452 |
| Appears in Collections: | Aurora harvest 2 Mathematical Sciences publications |
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