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Asymptotically optimal filtering in linear systems with fractional Brownian noises
dc.contributor.author | Le Breton, Alain |
dc.contributor.author | Kleptsyna, Marina L. |
dc.contributor.author | Viot, Michel |
dc.date.accessioned | 2007-11-14T17:29:07Z |
dc.date.available | 2007-11-14T17:29:07Z |
dc.date.issued | 2004 |
dc.identifier.citation | Le Breton, Alain; Kleptsyna, Marina L.; Viot, Michel. "Asymptotically optimal filtering in linear systems with fractional Brownian noises". SORT, 2004, Vol. 28, núm. 2 |
dc.identifier.issn | 1696-2281 |
dc.identifier.uri | http://hdl.handle.net/2099/3776 |
dc.description.abstract | In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter. |
dc.format.extent | 177-190 |
dc.language.iso | eng |
dc.publisher | Institut d'Estadística de Catalunya |
dc.relation.ispartof | SORT. 2004, Vol. 28, Núm. 2 [July-December] |
dc.rights | Attribution-NonCommercial-NoDerivs 2.5 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.5/es/ |
dc.subject.other | Stochastic processes |
dc.subject.other | Inference |
dc.subject.other | Stochastic systems |
dc.title | Asymptotically optimal filtering in linear systems with fractional Brownian noises |
dc.type | Article |
dc.subject.lemac | Processos estocàstics |
dc.subject.lemac | Inferència |
dc.subject.lemac | Sistemes estocàstics |
dc.description.peerreviewed | Peer Reviewed |
dc.subject.ams | Classificació AMS::60 Probability theory and stochastic processes::60G Stochastic processes |
dc.subject.ams | Classificació AMS::62 Statistics::62M Inference from stochastic processes |
dc.subject.ams | Classificació AMS::93 Systems Theory; Control::93E Stochastic systems and control |
dc.rights.access | Open Access |
local.personalitzacitacio | true |