Extension of the Kalman–Bucy Filter to Elementary Linear Systems with Fractional Brownian Noises
Year of publication: |
2002
|
---|---|
Authors: | Kleptsyna, M.L. ; Breton, A. Le |
Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 5.2002, 3, p. 249-271
|
Publisher: |
Springer |
Subject: | fractional Brownian motion | linear system | optimal filtering |
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