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
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
Journal title :
Automatica
