Asymptotically optimal filtering in linear systems with fractional Brownian noises
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 correspo...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2004 |
| País: | España |
| Institución: | Universitat Autònoma de Barcelona |
| Repositorio: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglés |
| OAI Identifier: | oai:ddd.uab.cat:93949 |
| Acceso en línea: | https://ddd.uab.cat/record/93949 |
| Access Level: | acceso abierto |
| Palabra clave: | Fractional Brownian motion Homogeneous linear system Optimal filtering Filtering error Asymptotic variance |
| Sumario: | 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. |
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