Tracking of signals and its derivatives in Gaussian white noise

DOI10.1016/S0304-4149(97)00046-XzbMath0911.60041OpenAlexW1972960493MaRDI QIDQ1275949

Pao-Liu Chow, Rafail Z. Khasminskii, Robert Sh. Liptser

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00046-x

zbMATH Keywords

Gaussian white noisekernel estimatoron-line tracking algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (6)

On-line estimation of smooth signals with partial observation ⋮ Tracking volatility ⋮ Estimation and prediction of a non-constant volatility ⋮ NONLINEAR FILTERING OF SMOOTH SIGNALS ⋮ On estimation of time dependent spatial signal in Gaussian white noise. ⋮ On-line tracking of a smooth regression function

Cites Work

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• One method of multiple differentiation applied to a signal in automatic regulation systems
• Remarks on Some Nonparametric Estimates of a Density Function
• Estimates of the Signal, Its Derivatives and Point of Maximum for Gaussian Distributions
• On Estimation of a Probability Density Function and Mode

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