Linear filtering with Ornstein-Ulhenbeck process as noise
AG Bhatt - Sadhana, 2006 - Springer
We consider a linear filtering model (with feedback) when the observation noise is an
Ornstein-Ulhenbeck (OU) process with parameter β. The coefficients appearing in the model …
Ornstein-Ulhenbeck (OU) process with parameter β. The coefficients appearing in the model …
Non-linear filtering with Gaussian martingale noise: Kalman filter with fBm noise
L Gawarecki, V Mandrekar - Lecture Notes-Monograph Series, 2004 - JSTOR
Non-Linear Filtering with Gaussian Martingale Noise: Kalman Filter with fBm Noise Page 1 A
Festschrift for Herman Rubin Institute of Mathematical Statistics Lecture Notes - Monograph …
Festschrift for Herman Rubin Institute of Mathematical Statistics Lecture Notes - Monograph …