Posterior Cramer-Rao bounds for discrete-time nonlinear filtering
نویسندگان
چکیده
منابع مشابه
Posterior Cramer-Rao bounds for discrete-time nonlinear filtering
A mean-square error lower bound for the discretetime nonlinear filtering problem is derived based on the Van Trees (posterior) version of the Cramér–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-ahe...
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• (z)r and (z)i denote the real and imaginary part of z. II. CONSTRAINED CRAMER-RAO BOUND A. Problem Statement Problem statement and notation are based on [1]. • a: a K × 1 non-random vector which are to be estimated. • r: an observation of a random vector . • â (R): an estimate of a basing on the observed vector r . It is required that â (R) satisfies M nonlinear equality constraints (M < K), ...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 1998
ISSN: 1053-587X
DOI: 10.1109/78.668800