Optimal Interpolation of Fractional Brownian Motion Given Its Noisy Samples
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