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Need Kalman-equivalent filter for FractionalBrownianMotionProcess

This...

model2 = 
EstimatedProcess[data2[[All, 2]], ARProcess[{a1, a2, a3, a4}, v]]

resids1 = 
Rest[data2[[All, 2]] - KalmanFilter[model2, data2[[All, 2]]]]

...works fine when the process is linear. But not so when we have a Fractional Brownian Motion Process. Does anyone know of a package that does that in Mathematica?

POSTED BY: Roger J Brown
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