Publication

Optimal Interpolation of Fractional Brownian Motion Given Its Noisy Samples

Michaël Unser, Thierry Blu
2006
Conference Papers

Abstract

We consider the problem of estimating a fractional Brownian motion known only from its noisy samples at the integers. We show that the optimal estimator can be expressed using a digital Wiener-like filter followed by a simple time-variant correction accounting for nonstationarity. Moreover, we prove that this estimate lives in a symmetric fractional spline space and give a practical implementation for optimal upsampling of noisy fBm samples by integer factors.

Official source

https://infoscience.epfl.ch/entities/publication/6e6c6df5-9a65-4c7b-a9e2-b03450b26855

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Optimal Interpolation of Fractional Brownian Motion Given Its Noisy Samples

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