On lower bounds for the nonlinear filtering problem (Corresp.)
- 1 January 1981
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 27 (1) , 131-132
- https://doi.org/10.1109/tit.1981.1056292
Abstract
The system modeldx_{t}=m(x_{t})dt+sigma_{o}dw_{t}and the observationdy_{t}=h(x_{t})dt+rho dv_{t}are considered, and a lower bound on the error for the least-square estimate of a function ofx_{t}, sayz(x_{t}), is derived. This bound is then applied to derive a lower bound on the error in estimatingx_{t}in the case where the constantsigma_{o}in the equation for the system dynamics is replaced bysigma (x_{t}).Keywords
This publication has 3 references indexed in Scilit:
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- A lower bound on the estimation error for certain diffusion processesIEEE Transactions on Information Theory, 1976