Title :
A lower bound on the estimation error for Markov processes
Author :
Bobrovsky, Ben Zion ; Zakai, Moshe
Author_Institution :
Tel-Aviv University, Tel-Aviv, Israel
fDate :
12/1/1975 12:00:00 AM
Abstract :
A lower bound on the minimal mean-square error in estimating nonlinear Markov processes is presented. The bound holds for causal and uncausal filtering. The derivation is based on the Van Trees´ version of the Cramér-Rao inequality.
Keywords :
Estimation; Markov processes; Nonlinear systems, stochastic; Stochastic systems, nonlinear; Artificial intelligence; Cramer-Rao bounds; Estimation error; Filtering; Gaussian processes; Markov processes; Matrices; Nonlinear equations; Nonlinear filters; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1975.1101088
