Estimation of Change Point via Kalman-bucy Filter for Linear Systems Driven by Fractional Brownian Motions

نویسندگان

  • M. N. MISHRA
  • PRAKASA RAO
  • Prakasa Rao
چکیده

We study the estimation of change point obtained through a Kalman-Bucy filter for linear systems driven by fractional Brownian motions.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Fixed-point FPGA Implementation of a Kalman Filter for Range and Velocity Estimation of Moving Targets

Tracking filters are extensively used within object tracking systems in order to provide consecutive smooth estimations of position and velocity of the object with minimum error. Namely, Kalman filter and its numerous variants are widely known as simple yet effective linear tracking filters in many diverse applications. In this paper, an effective method is proposed for designing and implementa...

متن کامل

Application of the Kalman-Bucy filter in the stochastic differential equation for the modeling of RL circuit

In this paper, we present an application of the stochastic calculusto the problem of modeling electrical networks. The filtering problem have animportant role in the theory of stochastic differential equations(SDEs). In thisarticle, we present an application of the continuous Kalman-Bucy filter for a RLcircuit. The deterministic model of the circuit is replaced by a stochastic model byadding a ...

متن کامل

Asymptotically optimal filtering in linear systems with fractional Brownian noises

In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.

متن کامل

Rotated Unscented Kalman Filter for Two State Nonlinear Systems

In the several past years, Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF) havebecame basic algorithm for state-variables and parameters estimation of discrete nonlinear systems.The UKF has consistently outperformed for estimation. Sometimes least estimation error doesn't yieldwith UKF for the most nonlinear systems. In this paper, we use a new approach for a two variablestate no...

متن کامل

کاهش تعداد ماهواره‌ها در یک سیستم ناوبری ترکیبی GPS/INS با استفاده از فیلتر ذره‌ای

The estimation of situation in a combinational navigation GPS/INS with least number of satellites is the main purpose of this paper. As inertial measurement unit uses altimeter for height measurement, we can assume which height poses certain amounts, whereas geographical length and width are unknown to us in this paper. The single difference GPS is employed for updating the inertial navigation ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2016