Optimal Estimation of a Signal Perturbed by a Fractional Brownian Noise
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://epubs.siam.org/doi/pdf/10.1137/S0040585X97T987521
Reference6 articles.
1. Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion
2. Numerical Computation of Multivariate Normal Probabilities
3. Fractional Brownian Motions, Fractional Noises and Applications
4. An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions
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