Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion

Alain Le Breton

Statistics & Probability Letters, 1998, vol. 38, issue 3, 263-274

Abstract: The optimal filter is derived in a Gaussian linear system where the signal is a fixed random variable and the observation is driven by a fractional Brownian motion. An application to a related parameter estimation problem is discussed and a Girsanov-type formula is investigated.

Keywords: Fractional; Brownian; motion; Optimal; filter; Best; linear; unbiased; estimator; Maximum; likelihood; estimator (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (10)

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