scientific article; zbMATH DE number 6945551

MaRDI QIDQ4684388zbMATH OpenFDO

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

Publication date 28 September 2018

zbMATH Keywords

fractional Brownian motioninnovation processKalman-Bucy filterlinear systemsoptimal filtering

Mathematics Subject Classification ID

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

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Cites work

• Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes
• Estimation of the Location of the Cusp of a Continuous Density
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• General approach to filtering with fractional brownian noises — application to linear systems
• scientific article; zbMATH DE number 3976091 (Why is no real title available?)
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• Parameter estimation and optimal filtering for fractional type stochastic systems
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical inference for fractional diffusion processes

Cited in

(2)

• Local asymptotic normality and estimation via Kalman-Bucy filter for a linear system with signal driven by a fractional Brownian motion and observation driven by a Brownian motion
• Fractional processes and their statistical inference: an overview

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