Title
Non-linear filtering with Gaussian martingale noise: Kalman filter with fBm noise
Document Type
Article
Publication Date
1-1-2004
Publication Title
The Institute of Mathematical Statistics Lecture Notes - Monograph Series
Abstract
We consider non-linear filtering problem with Gaussian martingales as a noise process, and obtain iterative equations for the optimal filter. We apply that result in the case of fractional Browian motion noise process and derive Kalman type equations in the linear case.
Volume
45
First Page
92
Last Page
97
DOI
10.1214/lnms/1196285382
ISSN
0749-2170
Rights
© 2004 Institute of Mathematical Statistics
Recommended Citation
Gawarecki, L.; Mandrekar, V. Non-linear filtering with Gaussian martingale noise: Kalman filter with fBm noise. A Festschrift for Herman Rubin, 92--97, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2004. doi:10.1214/lnms/1196285382. https://projecteuclid.org/euclid.lnms/1196285382
Comments
Source: Anirban DasGupta, ed., A Festschrift for Herman Rubin (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2004), 92-96