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DOI QR Code

ESTIMATION OF DRIFT PARAMETER AND CHANGE POINT VIA KALMAN-BUCY FILTER FOR LINEAR SYSTEMS WITH SIGNAL DRIVEN BY A FRACTIONAL BROWNIAN MOTION AND OBSERVATION DRIVEN BY A BROWNIAN MOTION

  • Received : 2017.07.10
  • Accepted : 2018.05.30
  • Published : 2018.09.01

Abstract

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

References

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