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Posterior Cramer-Rao bounds for discrete-time nonlinear filtering
Open accessAbstract
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.
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Hewer, G. (1971) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1971.1099755 · Cited by 326
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Metadata
- Authors
- Tichavsky, P., Muravchik, C. H., & Nehorai, A.
- Venue
- IEEE Transactions on Signal Processing
- Published
- 1998-05
- Volume
- 46
- Issue
- 5
- Pages
- 1386-1396
- ISSN
- 1053-587X (ISSN-L)
- OpenAlex
- W2104130465
- Cited by
- 1,435
- References
- 1
- FWCI
- 3.94
- Type
- journal article
- Language
- en
- Open access
- green
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- Tichavsky, P., Muravchik, C. H., & Nehorai, A. (1998). Posterior Cramer-Rao bounds for discrete-time nonlinear filtering. IEEE Transactions on Signal Processing. https://doi.org/10.1109/78.668800
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