Estimation of intrinsic processes affected by additive fractal noise

Abstract

Fractal Gaussian models have been widely used to represent the singular behavior of phenomena arising in different applied fields; for example, fractional Brownian motion and fractional Gaussian noise are considered as monofractal models in subsurface hydrology and geophysical studies Mandelbrot [The Fractal Geometry of Nature, Freeman Press, San Francisco, 1982 [13]]. In this paper, we address the problem of least-squares linear estimation of an intrinsic fractal input random field from the observation of an output random field affected by fractal noise (see Angulo et al. [Estimation and filtering of fractional generalised random fields, J. Austral. Math. Soc. A 69 (2000) 1–26 [2]], Ruiz-Medina et al. [Fractional generalized random fields on bounded domains, Stochastic Anal. Appl. 21 (2003a) 465–492], Ruiz-Medina et al. [Fractional-order regularization and wavelet approximation to the inverse estimation problem for random fields, J. Multivariate Anal. 85 (2003b) 192–216]. Conditions on the fractality order of the additive noise are studied to obtain a bounded inversion of the associated Wiener–Hopf equation. A stable solution is then obtained in terms of orthogonal bases of the reproducing kernel Hilbert spaces associated with the random fields involved. Such bases are constructed from orthonormal wavelet bases (see Angulo and Ruiz-Medina [Multiresolution approximation to the stochastic inverse problem, Adv. in Appl. Probab. 31 (1999) 1039–1057], Angulo et al. [Wavelet-based orthogonal expansions of fractional generalized random fields on bounded domains, Theoret. Probab. Math. Stat. (2004), in press]). A simulation study is carried out to illustrate the influence of the fractality orders of the output random field and the fractal additive noise on the stability of the solution derived.