| Université Paul Sabatier | Toulouse | |
| CNRS U.M.R. C5583 | ||
| Laboratoire de Statistique et Probabilités | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: We suggest a linear filtering method that involves preprocessing of data and postprocessing of estimations.The main advantage of this procedure is that it requires only ordinary linear Kalman-Bucy filtering. The main disadvantage is that it does not give the best estimation of the data given the observation, since it is optimal for a non-classical $L^2$ criterion.
Mots Clés: Gaussian processes, Stochastic Integrals, Fractional integration, Linear Kalman-Bucy Filter
Date: 28/03/2000
Prépublication numéro:
LSP-2000-05