Tracking of signal and its derivatives in Gaussian white noise

P. -L. Chow, R. Khasminskii and R. Liptser

Stochastic Processes and their Applications, 1997, vol. 69, issue 2, 259-273

Abstract: For the observation model "signal + white Gaussian noise", an on-line tracking algorithm for signal and its derivatives is proposed. The tracking algorithm applies to a class of signals with derivative up to the kth order. The asyptotic optimality in the minimax sense, with respect to small intensity of noise, is established.

Keywords: Gaussian; white; noise; On-line; tracking; algorithm; Kernel; estimator; Ito's; equations; Riccati; equation (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (2)

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