A filter for a hidden Markov chain observed in fractional Gaussian noise
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Publication:627717
DOI10.1016/j.sysconle.2010.10.013zbMath1209.93150MaRDI QIDQ627717
Publication date: 3 March 2011
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2010.10.013
93E11: Filtering in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
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Strategic asset allocation under a fractional hidden Markov model, Control of discrete-time HMM partially observed under fractional Gaussian noises, A filter for a state space model with fractional Gaussian noise, Kalman type filter under stationary noises
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