Identification of a Markovian system with observations corrupted by a fractional Brownian motion

We examine the continuous time analogue of the work of [Shumway, R.H., Stoffer, D.S., 1982. An approach to time series smoothing and forecasting using EM algorithm. J. Time Ser. 3, 253-264] for state space models when the noise in the observation process is a fractional Brownian motion. We study the estimation problem for the parameter of the system process.

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Year of publication:	2009
Authors:	Mandrekar, V. ; Naik-Nimbalkar, U.V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 7, p. 965-968
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211848