Tracking of signal and its derivatives in Gaussian white noise

For the observation model "signal + white Gaussian noise", an on-line tracking algorithm for signal and its derivatives is proposed. The tracking algorithm applies to a class of signals with derivative up to the kth order. The asyptotic optimality in the minimax sense, with respect to small intensity of noise, is established.

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Year of publication:	1997
Authors:	Chow, P. -L. ; Khasminskii, R. ; Liptser, R.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 69.1997, 2, p. 259-273
Publisher:	Elsevier
Keywords:	Gaussian white noise On-line tracking algorithm Kernel estimator Ito's equations Riccati equation

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

Persistent link: https://www.econbiz.de/10008875271