| Paper: | SPTM-P14.9 | ||
| Session: | Sampling, Extrapolation and Interpolation II | ||
| Time: | Friday, May 19, 16:30 - 18:30 | ||
| Presentation: | Poster | ||
| Topic: | Signal Processing Theory and Methods: Sampling, Extrapolation, and Interpolation | ||
| Title: | OPTIMAL INTERPOLATION OF FRACTIONAL BROWNIAN MOTION GIVEN ITS NOISY SAMPLES | ||
| Authors: | Thierry Blu, Michael Unser, Swiss Federal Institute of Technology Lausanne (EPFL), Switzerland | ||
| 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 timevariant 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. | ||
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