most citedLinear filtering with fractional noises: large time and small noise asymptotics

2 citations · 2 across the 1 of their papers we have counts for

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1 paper

math.PR2019★ 2 cited

Linear filtering with fractional noises: large time and small noise asymptotics

D. Afterman, P. Chigansky, M. Kleptsyna +1

The classical state-space approach to optimal estimation of stochastic processes is efficient when the driving noises are generated by martingales. In particular, the weight functi…