Title :
Error bounds for the nonlinear filtering of signals with small diffusion coefficients
Author :
Bobrovsky, B.-Z. ; Zakai, M.M. ; Zeitouni, Ofer
Author_Institution :
Dept. of Electron., Tel Aviv Univ., Israel
fDate :
7/1/1988 12:00:00 AM
Abstract :
New upper and lower bounds for the nonlinear filtering problem are presented. The lower bounds are especially useful in the region of small diffusion coefficients where previously known bounds are inefficient. The upper and lower bounds are shown to be tight. An example demonstrating the tightness of the bounds is presented
Keywords :
error statistics; filtering and prediction theory; signal processing; error bounds; lower bounds; nonlinear filtering; signal processing; small diffusion coefficients; upper bounds; Filtering; Laboratories; Mean square error methods; Nonlinear filters; Parameter estimation; Random variables; Upper bound;
Journal_Title :
Information Theory, IEEE Transactions on
