TRACKING OF SIGNAL AND ITS DERIVATIVES IN GAUSSIAN WHITE-NOISE

Authors
CHOW PL KHASMINSKII R LIPTSER R
Citation
Pl. Chow et al., TRACKING OF SIGNAL AND ITS DERIVATIVES IN GAUSSIAN WHITE-NOISE, Stochastic processes and their applications, 69(2), 1997, pp. 259-273
Citations number
6
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
69
Issue
2
Year of publication
1997
Pages
259 - 273
Database
ISI
SICI code
0304-4149(1997)69:2<259:TOSAID>2.0.ZU;2-E
Abstract
For the observation model ''signal + white Gaussian noise'', an on-lin e tracking algorithm for signal and its derivatives is proposed. The t racking algorithm applies to a class of signals with derivative up to the kth order. The asymptotic optimality in the minimax sense, with re spect to small intensity of noise, is established. (C) 1997 Elsevier S cience B.V.