Asymptotic accuracy in estimation of a fractional signal in a small white noise

DOI10.1134/S0005117920030030MaRDI QIDQ6399599arXivFDO

Authors Marina Kleptsyna, D. A. Marushkevych, P. Yu. Chigansky

Publication date 19 May 2022

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Linear systems in control theory (93C05)

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.

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