• DocumentCode
    820002
  • 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
  • Volume
    20
  • Issue
    6
  • fYear
    1975
  • fDate
    12/1/1975 12:00:00 AM
  • Firstpage
    785
  • Lastpage
    788
  • 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;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1975.1101088
  • Filename
    1101088
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=820002