A filter for a state space model with fractional Gaussian noise

DOI10.1016/J.AUTOMATICA.2010.06.026zbMATH Open1204.93118OpenAlexW2059671100MaRDI QIDQ608478FDOQ608478

Authors: Robert J. Elliott, Jia Deng 

Publication date: 25 November 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2010.06.026

zbMATH Keywords

EM algorithmchange of measurefractional Gaussian noisefinite-dimensional filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Measure Theory and Filtering
• Fractional differencing in discrete time
• A filter for a hidden Markov chain observed in fractional Gaussian noise
• Exact adaptive filters for Markov chains observed in Gaussian noise

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