Optimal Sampling for Estimation of Fractional Brownian Motion
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Abstract: In this paper, we focus on multiple sampling problems for the estimation of the fractional Brownian motion when the maximum number of samples is limited, extending existing results in the literature in a non-Markovian framework. Two classes of sampling schemes are proposed: a deterministic scheme and a level-triggered scheme. For the deterministic sampling scheme, the sampling times are selected beforehand and do not depend on the process trajectory. For the level-triggered sampling scheme, the sampling times are the times when the process crosses predetermined thresholds. The sampling times are selected sequentially in time and depend on the process trajectory. For each of the schemes, we derive the optimal sampling times by minimizing the aggregate squared error distortion. We then show that the optimal sampling strategies heavily depend on the dependence structure of the process.
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