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Linear filtering with fractional brownian motion
28
Citations
2
References
1998
Year
State EstimationFractional Brownian MotionUsual Kalman FilterEngineeringFractional-order SystemIntegral EquationsStochastic AnalysisBrownian MotionFractional StochasticsSignal ProcessingKalman Type SystemFractional Dynamic
A Kalman type system of integral equations is obtained for the linear filtering problem in which the noise generating the signal is a fractional Brownian motion with long-range dependence. The error in applying the usual Kalman filter to this problem is determined explicitly for a simple example
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