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Tracking of signal and its derivatives in Gaussian white noise

Author

Listed:
  • Chow, P. -L.
  • Khasminskii, R.
  • Liptser, R.

Abstract

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.

Suggested Citation

  • Chow, P. -L. & Khasminskii, R. & Liptser, R., 1997. "Tracking of signal and its derivatives in Gaussian white noise," Stochastic Processes and their Applications, Elsevier, vol. 69(2), pages 259-273, September.
    • Handle: RePEc:eee:spapps:v:69:y:1997:i:2:p:259-273
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    Cited by:

    1. Chow, P. -L. & Khasminskii, R. & Liptser, R., 2001. "On estimation of time dependent spatial signal in Gaussian white noise," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 161-175, November.
    2. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.

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