Title :
The Marginal Enumeration Bayesian Cramér–Rao Bound for Jump Markov Systems
Author :
Fritsche, Carsten ; Orguner, Umut ; Svensson, Lars ; Gustafsson, Fredrik
Author_Institution :
IFEN GmbH, Poing, Germany
Abstract :
A marginal version of the enumeration Bayesian Cramér-Rao Bound (EBCRB) for jump Markov systems is proposed. It is shown that the proposed bound is at least as tight as EBCRB and the improvement stems from better handling of the nonlinearities. The new bound is illustrated to yield tighter results than BCRB and EBCRB on a benchmark example.
Keywords :
Bayes methods; Markov processes; EBCRB; jump Markov systems; marginal enumeration Bayesian Cramér-Rao bound; Approximation methods; Bayes methods; Estimation; Markov processes; Monte Carlo methods; Noise; Vectors; Jump markov systems; performance bounds; statistical signal processing;
Journal_Title :
Signal Processing Letters, IEEE
DOI :
10.1109/LSP.2014.2305115
