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|Scopus||Web of Science®||Altmetric|
|Title:||A nonlinear filter with fractional gaussian noise|
|Citation:||Stochastic Analysis and Applications, 2011; 29(3):503-510|
|Publisher:||Taylor & Francis|
|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|
|Appears in Collections:||Mathematical Sciences publications|
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