scientific article; zbMATH DE number 6945551

zbMath1401.62133MaRDI QIDQ4684388

B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date: 28 September 2018

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

linear systemsfractional Brownian motioninnovation processoptimal filteringKalman-Bucy filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

Fractional processes and their statistical inference: an overview

Cites Work

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• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• General approach to filtering with fractional brownian noises — application to linear systems
• Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes
• Statistical Inference for Fractional Diffusion Processes
• Estimation of the Location of the Cusp of a Continuous Density
• Parameter estimation and optimal filtering for fractional type stochastic systems

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