Adelaide Research & Scholarship
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https://hdl.handle.net/2440/59954
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| Type: | Journal article |
| Title: | A filter for a state space model with fractional Gaussian noise |
| Author: | Elliott, R. Deng, J. |
| Citation: | Automatica, 2010; 46(10):1689-1695 |
| Publisher: | Pergamon-Elsevier Science Ltd |
| Issue Date: | 2010 |
| ISSN: | 0005-1098 |
| Statement of Responsibility: | Robert J. Elliott and Jia Deng |
| Abstract: | A filter for estimating the hidden signal and parameters in a state space model, where the noise in the observations is fractional Gaussian noise, is obtained. © 2010 Elsevier Ltd. All rights reserved. |
| Keywords: | Fractional Gaussian noise Change of measure EM algorithm Finite-dimensional filter. |
| Rights: | Copyright © 2010 Elsevier Ltd. All rights reserved. |
| DOI: | 10.1016/j.automatica.2010.06.026 |
| Published version: | http://dx.doi.org/10.1016/j.automatica.2010.06.026 |
| Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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