ESTIMATION OF DRIFT PARAMETER AND CHANGE POINT VIA KALMAN-BUCY FILTER FOR LINEAR SYSTEMS WITH SIGNAL DRIVEN BY A FRACTIONAL BROWNIAN MOTION AND OBSERVATION DRIVEN BY A BROWNIAN MOTION
Mishra, Mahendra Nath, Rao, Bhagavatula Lakshmi Surya Prakasa
Published in Journal of the Korean Mathematical Society (2018)
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Published in Journal of the Korean Mathematical Society (2018)
Journal Article
Estimation of drift parameter and change point via Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and observation driven by a Brownian motion
Mahendra Nath Mishra, Bhagavatula Lakshmi Surya Prakasa Rao
Published in Journal of the Korean Mathematical Society (01.01.2018)
Published in Journal of the Korean Mathematical Society (01.01.2018)
Get full text
Journal Article