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Avtomatika i Telemekhanika, 2020, Issue 3, Pages 44–66
DOI: https://doi.org/10.31857/S0005231020030046 (Mi at15436) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Topical issue

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

M. L. Kleptsynaa, D. A. Marushkevycha, P. Yu. Chiganskyb

a Le Mans Université, Le Mans, France
b The Hebrew University of Jerusalem, Jerusalem, Israel
Full-text PDF (363 kB) Citations (3)
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DOI: https://doi.org/10.31857/S0005231020030046
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.
Keywords: optimal linear filtering, fractional Ornstein–Uhlenbeck process, asymptotic analysis.
Funding agency Grant number
Israel Science Foundation 1383/18
This work was supported by the Israel Science Foundation, project no. 1383/18.
Presented by the member of Editorial Board: B. M. Miller

Received: 20.06.2019
Revised: 15.08.2019
Accepted: 26.09.2019
English version:
Automation and Remote Control, 2020, Volume 81, Issue 3, Pages 411–429
DOI: https://doi.org/10.1134/S0005117920030030
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. L. Kleptsyna, D. A. Marushkevych, P. Yu. Chigansky, “Asymptotic accuracy in estimation of a fractional signal in a small white noise”, Avtomat. i Telemekh., 2020, no. 3, 44–66; Autom. Remote Control, 81:3 (2020), 411–429
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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