Linear filtering with fractional brownian motion (Q4215907)
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scientific article; zbMATH DE number 1216444
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| English | Linear filtering with fractional brownian motion |
scientific article; zbMATH DE number 1216444 |
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Linear filtering with fractional brownian motion (English)
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21 January 1999
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linear filtering
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fractional Brownian motion
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long-range
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Hurst index
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0.9223475456237792
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0.8964412808418274
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0.8909707069396973
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The following linear filtering model is studied: \[ d\theta_s = a(s)\theta_s ds + dB_s^h, \qquad d\zeta_s = A(s)\theta_s ds + dW_s , \] with signal \(\theta_s\), observation \(\zeta_s\) and observation noise \(W_s \) (a Brownian motion). The noise generating the signal is a fractional Brownian motion, \(B_t^h\), with Hurst index \(h\). The authors obtain a Kalman-type system of integral equations for the conditional expectation of the signal \(\theta_t\). They give also an explicit expression for the error in a particular case.
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