Tracking of signals and its derivatives in Gaussian white noise

DOI10.1016/S0304-4149(97)00046-XMaRDI QIDQ1275949zbMATH OpenOpenAlexFDO

Authors 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)

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• scientific article; zbMATH DE number 177229

Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• Estimates of the Signal, Its Derivatives and Point of Maximum for Gaussian Distributions
• On Estimation of a Probability Density Function and Mode
• One method of multiple differentiation applied to a signal in automatic regulation systems
• Remarks on Some Nonparametric Estimates of a Density Function

Cited in

(9)

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

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