Estimation and filtering of fractional generalised random fields

Abstract

AbstractThis paper considers the estimation and filtering of fractional random fields, of which fractional Brownian motion and fractional Riesz-Bessel motion are important special cases. A least-squares solution to the problem is derived by using the duality theory and covariance factorisation of fractional generalised random fields. The minimum fractional duality order of the information random field leads to the most general class of solutions corresponding to the largest function space where the output random field can be approximated. The second-order properties that define the class of random fields for which the least-squares linear estimation problem is solved in a weak-sense are also investigated in terms of the covariance spectrum of the information random field.