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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
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.
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
Linking options:
https://www.mathnet.ru/eng/at15436 https://www.mathnet.ru/eng/at/y2020/i3/p44
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Abstract page: | 163 | Full-text PDF : | 23 | References: | 19 | First page: | 15 |
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