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13.355 Articles in journals published by the UPC
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Asymptotically optimal filtering in linear systems with fractional Brownian noises

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Le Breton, Alain
Kleptsyna, Marina L.
Viot, Michel
Document typeArticle
Defense date2004
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
Attribution-NonCommercial-NoDerivs 2.5 Spain
Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial-NoDerivs 2.5 Spain
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.
CitationLe Breton, Alain; Kleptsyna, Marina L.; Viot, Michel. "Asymptotically optimal filtering in linear systems with fractional Brownian noises". SORT, 2004, Vol. 28, núm. 2 
URIhttp://hdl.handle.net/2099/3776
ISSN1696-2281
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  • SORT (Statistics and Operations Research Transactions) - 2004, Vol. 28, Núm. 2 [9]
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