J. Korean Math. Soc. 2018; 55(5): 1063-1073
Online first article August 7, 2018 Printed September 1, 2018
https://doi.org/10.4134/JKMS.j170463
Copyright © The Korean Mathematical Society.
Mahendra Nath Mishra, Bhagavatula Lakshmi Surya Prakasa Rao
Institute of Mathematics and its Applications, CR Rao Advanced Institute of Mathematics
We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.
Keywords: fractional Brownian motion, linear systems, optimal filtering, Kalman-Bucy filter, innovation process
MSC numbers: Primary 62M20, 60G22, 60G35, 93E11; Secondary 62M20, 60G22, 60G35, 93E11
1999; 36(3): 545-566
2000; 37(3): 437-454
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