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

Research output: Contribution to journalArticlepeer-review

2 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 languageAmerican English
Pages (from-to)411-429
Number of pages19
JournalAutomation and Remote Control
Volume81
Issue number3
DOIs
StatePublished - 1 Mar 2020

Bibliographical note

Publisher Copyright:
© 2020, Pleiades Publishing, Ltd.

Keywords

  • asymptotic analysis
  • fractional Ornstein—Uhlenbeck process
  • optimal linear filtering

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