Filtering for Linear Systems Driven by Fractional Brownian Motion.

Nasir Uddin Ahmed Charalambos D. Charalambous

Published in: SIAM J. Control. Optim. (2002)

Keyphrases

linear systems
fractional brownian motion
long range
non stationary
sufficient conditions
dynamical systems
long range dependence
fractal dimension
random fields
coefficient matrix
financial markets
sparse linear systems
interior point methods
k nearest neighbor
pid controller