Linear filtering with fractional noises: large time and small noise asymptotics
From MaRDI portal
Publication:5081090
Abstract: The classical state-space approach to optimal estimation of stochastic processes is efficient when the driving noises are generated by martingales. In particular, the weight function of the optimal linear filter, which solves a complicated operator equation in general, simplifies to the Riccati ordinary differential equation in the martingale case. This reduction lies in the foundations of the Kalman-Bucy approach to linear optimal filtering. In this paper we consider a basic Kalman-Bucy model with noises, generated by independent fractional Brownian motions, and develop a new method of asymptotic analysis of the integro-differential filtering equation arising in this case. We establish existence of the steady-state error limit and find its asymptotic scaling in the high signal-to-noise regime. Closed form expressions are derived in a number of important cases.
Recommendations
- Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
- scientific article; zbMATH DE number 6193676
- Linear filtering with fractional brownian motion
- Asymptotically optimal filtering in linear systems with fractional Brownian noises
- General approach to filtering with fractional brownian noises — application to linear systems
Cites work
- Abstract nonlinear filtering theory in the presence of fractional Brownian motion
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
- Asymptotic accuracy in estimation of a fractional signal in a small white noise
- Asymptotic Distribution of Eigenvalues of the Kernel in the Kirkwood-Riseman Integral Equation
- Asymptotic filtering for finite state Markov chains
- Exponential decay rate of the Filter's dependence on the initial distribution
- Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
- Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
- Function estimation via wavelet shrinkage for long-memory data
- General approach to filtering with fractional brownian noises — application to linear systems
- scientific article; zbMATH DE number 5919860 (Why is no real title available?)
- scientific article; zbMATH DE number 5919868 (Why is no real title available?)
- scientific article; zbMATH DE number 53539 (Why is no real title available?)
- scientific article; zbMATH DE number 3560405 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- scientific article; zbMATH DE number 3388896 (Why is no real title available?)
- Intrinsic methods in filter stability
- Linear filtering with fractional brownian motion
- Mixed fractional Brownian motion: a spectral take
- Mixed Gaussian processes: a filtering approach
- Nonlinear filtering and fractional Brownian motion
- Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
- Nonlinear Filtering with Fractional Brownian Motion Noise
- On filtering with unspecified initial data for nonuniformly ergodic signals
- On the maximal achievable accuracy in nonlinear filtering problems
- Quenched Large Deviations for One Dimensional Nonlinear Filtering
- Signal detection in fractional Gaussian noise
- Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
- Stability of the optimal filter for nonergodic signals -- a variational approach
- The maximally achievable accuracy of linear optimal regulators and linear optimal filters
Cited in
(5)- Asymptotically optimal filtering in linear systems with fractional Brownian noises
- Fractional noises: diffusive model for CCD imager band-pass acquisition chain
- 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
- Asymptotic analysis of the finite predictor for fractional Gaussian noise
- Asymptotic accuracy in estimation of a fractional signal in a small white noise
This page was built for publication: Linear filtering with fractional noises: large time and small noise asymptotics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5081090)
