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

DOI10.1134/S0005117920030030zbMath1455.93196MaRDI QIDQ827934

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

Publication date: 14 January 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

asymptotic analysisfractional Ornstein-Uhlenbeck processoptimal linear filtering

Mathematics Subject Classification ID

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

Related Items (3)

Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics ⋮ \( L_2\)-small ball asymptotics for Gaussian random functions: a survey ⋮ Sharp asymptotics in a fractional Sturm-Liouville problem

Cites Work

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• Fractional {O}rnstein-{U}hlenbeck processes
• Stochastic calculus for fractional Brownian motion and related processes.
• Long-Range Dependence and Self-Similarity
• Asymptotic Distribution of Eigenvalues of the Kernel in the Kirkwood-Riseman Integral Equation
• Introduction to nonparametric estimation

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