Please use this identifier to cite or link to this item:
|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:||Aurora harvest 2|
Mathematical Sciences publications
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.