A filter for a hidden Markov chain observed in fractional Gaussian noise

DOI10.1016/j.sysconle.2010.10.013zbMath1209.93150MaRDI QIDQ627717

Jia Deng, Robert J. Elliott

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

zbMATH Keywords

filtering; Viterbi algorithm; fractional white noise

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

Related Items

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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