A regularised estimator for long-range dependent processes
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Publication:1941250
DOI10.1016/j.automatica.2011.07.012zbMath1260.93157OpenAlexW2053151552MaRDI QIDQ1941250
Oskar Vivero, William Paul Heath
Publication date: 12 March 2013
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2011.07.012
parameter estimationregularizationGaussian processesfractalsmaximum likelihood estimatorsmatrix inversionlong-term memorycovariance matrices
Estimation and detection in stochastic control theory (93E10) Stochastic systems in control theory (general) (93E03)
Related Items (3)
Laplace deconvolution with dependent errors: a minimax study ⋮ Anisotropic functional deconvolution with long-memory noise: the case of a multi-parameter fractional Wiener sheet ⋮ Almost sure and moment stability properties of fractional order Black-Scholes model
Uses Software
Cites Work
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