An algorithm for tracking a random walk with unknown drift
نویسندگان
چکیده
In this paper we study the problem of tracking a random walk observed with noise when the variance of the walk increment is unknown. We describe a sequence of estimators of the random walk and we design an algorithm to choose the best estimator among all the sequence. We give also a bound for the mean square error of this estimator. Finally some simulations are presented and we compare our algorithm with the Kalman filter when the variance of the walk increment is estimated.
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تاریخ انتشار 1998