Title :
Performance limitations in estimation
Author :
Ren, Zhiyuan ; Qiu, Li ; Chen, Jie
Author_Institution :
Dept. of Electr. & Comput. Eng., Carnegie Mellon Univ., Pittsburgh, PA, USA
fDate :
6/21/1905 12:00:00 AM
Abstract :
In this paper, we address the performance limitation issues in estimation problems. Specifically, we study the performance limitations in four cases: (1) estimating the output of an LTI system under the corruption of a white noise, (2) estimating a Brownian motion input of an LTI system from the output measurement, (3) estimating the output of an LTI system under the corruption of a Brownian noise, (4) estimating a white noise input of an LTI system from the output measurement. In each case we find and characterize explicitly how the best achievable estimation errors may relate to certain simple, intrinsic system characteristics
Keywords :
Brownian motion; parameter estimation; white noise; Brownian motion input; Brownian noise; LTI system output; estimation problems; performance limitations; white noise; Estimation error; Filtering theory; Information filtering; Information filters; Motion estimation; Motion measurement; Noise measurement; Steady-state; Stochastic processes; White noise;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.827762
