Identification of a Markovian system with observations corrupted by a fractional Brownian motion

V. Mandrekar and U.V. Naik-Nimbalkar

Statistics & Probability Letters, 2009, vol. 79, issue 7, 965-968

Abstract: We examine the continuous time analogue of the work of [Shumway, R.H., Stoffer, D.S., 1982. An approach to time series smoothing and forecasting using EM algorithm. J. Time Ser. 3, 253-264] for state space models when the noise in the observation process is a fractional Brownian motion. We study the estimation problem for the parameter of the system process.

Date: 2009
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