Kalman type filter under stationary noises

DOI10.1016/j.sysconle.2012.09.007zbMath1255.93143OpenAlexW1974005428MaRDI QIDQ1932741

Alexandre Brouste, Marina Kleptsyna

Publication date: 21 January 2013

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2012.09.007

zbMATH Keywords

Kalman filteroptimal filteringfractional Gaussian noisesnon-white noises

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Related Items (5)

Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise ⋮ Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise ⋮ Delta-hedging in fractional volatility models ⋮ Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise ⋮ Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory

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