Identification of a Markovian system with observations corrupted by a fractional Brownian motion

DOI10.1016/j.spl.2008.11.023zbMath1158.62051OpenAlexW2082987718MaRDI QIDQ1012229

J. Martínez

Publication date: 15 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.11.023

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Parameter estimation in linear filtering
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Parameter identification in infinte dimensional linear systems
• Linear filtering with fractional brownian motion
• A Bayes Formula for Gaussian Noise Processes and its Applications
• Nonlinear Filtering with Fractional Brownian Motion Noise
• Nonlinear filtering with fractional Brownian motion
• Parameter estimation and optimal filtering for fractional type stochastic systems
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