Title of article
A filter for a state space model with fractional Gaussian noise
Author/Authors
Elliott، نويسنده , , Robert J. and Deng، نويسنده , , Jia، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
7
From page
1689
To page
1695
Abstract
A filter for estimating the hidden signal and parameters in a state space model, where the noise in the observations is fractional Gaussian noise, is obtained.
Keywords
Fractional Gaussian noise , EM algorithm , Finite-dimensional filter , Change of measure
Journal title
Automatica
Serial Year
2010
Journal title
Automatica
Record number
1448126
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