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

We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

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Bibliographic Details
Published inJournal of the Korean Mathematical Society Vol. 55; no. 5; pp. 1063 - 1073
Main Authors Mishra, Mahendra Nath, Rao, Bhagavatula Lakshmi Surya Prakasa
Format Journal Article
LanguageKorean
Published 2018
Subjects
innovation process
linear systems
optimal filtering
Kalman-Bucy filter
fractional Brownian motion
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Summary:We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.
Bibliography:KISTI1.1003/JNL.JAKO201828138443648
ISSN:0304-9914