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

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

doi:https://doi.org/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

Department of Statistics

The Hebrew University of Jerusalem

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

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

Keywords

asymptotic analysis
fractional Ornstein—Uhlenbeck process
optimal linear filtering

All Science Journal Classification (ASJC) codes

Control and Systems Engineering
Electrical and Electronic Engineering

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Cite this

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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{\textquoteright}s covariance operator.",

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AB - 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.

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KW - optimal linear filtering

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M3 - مقالة

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SP - 411

EP - 429

JO - Automation and Remote Control

JF - Automation and Remote Control

IS - 3

ER -

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

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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