Tracking of signals and its derivatives in Gaussian white noise

DOI10.1016/S0304-4149(97)00046-XzbMATH Open0911.60041OpenAlexW1972960493MaRDI QIDQ1275949FDOQ1275949

Pao-Liu Chow, R. Z. Khas'minskiĭ, R. Liptser

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00046-x

zbMATH Keywords

kernel estimatorGaussian white noiseon-line tracking algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Remarks on Some Nonparametric Estimates of a Density Function
• On Estimation of a Probability Density Function and Mode
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimates of the Signal, Its Derivatives and Point of Maximum for Gaussian Distributions
• One method of multiple differentiation applied to a signal in automatic regulation systems

Cited In (8)

• NONLINEAR FILTERING OF SMOOTH SIGNALS
• On-line estimation of smooth signals with partial observation
• LMMSE Filtering in Feedback Systems With White Random Modes: Application to Tracking in Clutter
• Estimation and prediction of a non-constant volatility
• On-line tracking of a smooth regression function
• Tracking volatility
• On estimation of time dependent spatial signal in Gaussian white noise.
• Performance estimates in tracking under white-noise perturbations

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