Posterior Cramér-Rao bounds for discrete-time nonlinear filtering

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...

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Autores principales: Tichavský, Petr, Muravchik, Carlos Horacio, Nehorai, Arye
Formato: Articulo
Lenguaje:Inglés
Publicado: 1998
Materias:
Ingeniería
Electrotecnia
Adaptive estimation
Kalman filtering
nonlinear filters
time-varying systems
tracking filters
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/122993
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-122993
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ingeniería
Electrotecnia
Adaptive estimation
Kalman filtering
nonlinear filters
time-varying systems
tracking filters
spellingShingle Ingeniería
Electrotecnia
Adaptive estimation
Kalman filtering
nonlinear filters
time-varying systems
tracking filters
Tichavský, Petr
Muravchik, Carlos Horacio
Nehorai, Arye
Posterior Cramér-Rao bounds for discrete-time nonlinear filtering
topic_facet Ingeniería
Electrotecnia
Adaptive estimation
Kalman filtering
nonlinear filters
time-varying systems
tracking filters
description 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.
format Articulo
Articulo
author Tichavský, Petr
Muravchik, Carlos Horacio
Nehorai, Arye
author_facet Tichavský, Petr
Muravchik, Carlos Horacio
Nehorai, Arye
author_sort Tichavský, Petr
title Posterior Cramér-Rao bounds for discrete-time nonlinear filtering
title_short Posterior Cramér-Rao bounds for discrete-time nonlinear filtering
title_full Posterior Cramér-Rao bounds for discrete-time nonlinear filtering
title_fullStr Posterior Cramér-Rao bounds for discrete-time nonlinear filtering
title_full_unstemmed Posterior Cramér-Rao bounds for discrete-time nonlinear filtering
title_sort posterior cramér-rao bounds for discrete-time nonlinear filtering
publishDate 1998
url http://sedici.unlp.edu.ar/handle/10915/122993
work_keys_str_mv AT tichavskypetr posteriorcramerraoboundsfordiscretetimenonlinearfiltering
AT muravchikcarloshoracio posteriorcramerraoboundsfordiscretetimenonlinearfiltering
AT nehoraiarye posteriorcramerraoboundsfordiscretetimenonlinearfiltering
bdutipo_str Repositorios
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