Asymptotic accuracy in estimation of a fractional signal in a small white noise
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Publication:6399599
DOI10.1134/S0005117920030030arXiv2205.09516MaRDI QIDQ6399599FDOQ6399599
Authors: Marina Kleptsyna, D. A. Marushkevych, P. Yu. Chigansky 
Publication date: 19 May 2022
Abstract: This paper revisits the problem of estimating the fractional Ornstein - Uhlenbeck process observed in a linear channel with white noise of small intensity. We drive the exact asymptotic formulas for the mean square errors of the filtering and interpolation estimators. The asymptotic analysis is based on approximations of the eigenvalues and eigenfunctions of the signal's covariance operator.
Filtering in stochastic control theory (93E11) Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Linear systems in control theory (93C05)
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