Tracking of signal and its derivatives in Gaussian white noise

P. L. Chow, R. Khasminskii, R. Liptser

Research output: Contribution to journalArticlepeer-review

Abstract

For the observation model "signal + white Gaussian noise", an on-line tracking algorithm for signal and its derivatives is proposed. The tracking algorithm applies to a class of signals with derivative up to the kth order. The asymptotic optimality in the minimax sense, with respect to small intensity of noise, is established.

Original languageEnglish
Pages (from-to)259-273
Number of pages15
JournalStochastic Processes and their Applications
Volume69
Issue number2
DOIs
StatePublished - 1 Sep 1997

Keywords

  • Gaussian white noise
  • Ito's equations
  • Kernel estimator
  • On-line tracking algorithm
  • Riccati equation

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