A filter for a state space model with fractional Gaussian noise

DOI10.1016/J.AUTOMATICA.2010.06.026MaRDI QIDQ608478zbMATH OpenOpenAlexFDO

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

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

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