Semantic Scholar Open Access 1998 1495 sitasi

Posterior Cramer-Rao bounds for discrete-time nonlinear filtering

P. Tichavský C. Muravchik A. Nehorai

Lihat Sumber DOI

Abstrak

A mean-square error lower bound for the discrete-time nonlinear filtering problem is derived based on the van Trees (1968) (posterior) version of the Cramer-Rao inequality. This lower bound is applicable to multidimensional nonlinear, possibly non-Gaussian, dynamical systems and is more general than the previous bounds in the literature. The case of singular conditional distribution of the one-step-ahead state vector given the present state is considered. The bound is evaluated for three important examples: the recursive estimation of slowly varying parameters of an autoregressive process, tracking a slowly varying frequency of a single cisoid in noise, and tracking parameters of a sinusoidal frequency with sinusoidal phase modulation.

Topik & Kata Kunci

Mathematics Computer Science

Penulis (3)

P. Tichavský

C. Muravchik

A. Nehorai

Format Sitasi

APA MLA BibTeX

Tichavský, P., Muravchik, C., Nehorai, A. (1998). Posterior Cramer-Rao bounds for discrete-time nonlinear filtering. https://doi.org/10.1109/78.668800

Akses Cepat

Lihat di Sumber doi.org/10.1109/78.668800

Informasi Jurnal

Tahun Terbit: 1998
Bahasa: en
Total Sitasi: 1495×
Sumber Database: Semantic Scholar
DOI: 10.1109/78.668800
Akses: Open Access ✓