Spline approximation of a random process with singularity
Probability
2010-05-20 v2
Abstract
Let a continuous random process defined on be -smooth, , in quadratic mean for all and have an isolated singularity point at . In addition, let be locally like a -fold integrated -fractional Brownian motion for all non-singular points. We consider approximation of by piecewise Hermite interpolation splines with free knots (i.e., a sampling design, a mesh). The approximation performance is measured by mean errors (e.g., integrated or maximal quadratic mean errors). We construct a sequence of sampling designs with asymptotic approximation rate for the whole interval.
Cite
@article{arxiv.1004.5289,
title = {Spline approximation of a random process with singularity},
author = {Konrad Abramowicz and Oleg Seleznjev},
journal= {arXiv preprint arXiv:1004.5289},
year = {2010}
}
Comments
16 pages, 2 figure typos and references corrected, revised classes definition, results unchanged