Asymptotic Accuracy in Estimation of a Fractional Signal in a Small White Noise

M. L. Kleptsyna; D. A. Marushkevych; P. Yu Chigansky

doi:10.1134/S0005117920030030

Asymptotic Accuracy in Estimation of a Fractional Signal in a Small White Noise

M. L. Kleptsyna^*, D. A. Marushkevych, P. Yu Chigansky

^*Corresponding author for this work

Department of Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

The problem of estimating the fractional Ornstein—Uhlenbeck process observed in a linear channel with white noise of small intensity is considered. Exact asymptotic formulas of the error of the filtering and interpolation estimates are obtained. The accuracy analysis is based on approximations of the eigenvalues and eigenfunctions of the signal’s covariance operator.

Original language	English
Pages (from-to)	411-429
Number of pages	19
Journal	Automation and Remote Control
Volume	81
Issue number	3
DOIs	https://doi.org/10.1134/S0005117920030030
State	Published - 1 Mar 2020

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Publisher Copyright:
© 2020, Pleiades Publishing, Ltd.

Keywords

asymptotic analysis
fractional Ornstein—Uhlenbeck process
optimal linear filtering

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10.1134/S0005117920030030

Cite this

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Asymptotic Accuracy in Estimation of a Fractional Signal in a Small White Noise

Abstract

Bibliographical note

Keywords

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