On parametric lower bounds for discrete-time filtering
On parametric lower bounds for discrete-time filtering
复制标题
DOI：
10.1109/icassp.2016.7472496
复制
发表时间：
2016-03
期刊：
影响因子：
--
通讯作者：
C. Fritsche;U. Orguner;F. Gustafsson
中科院分区：
文献类型：
--
作者：
C. Fritsche;U. Orguner;F. Gustafsson
Parametric Cramér-Rao lower bounds (CRLBs) are given for discrete-time systems with non-zero process noise. Recursive expressions for the conditional bias and mean-square-error (MSE) (given a specific state sequence) are obtained for Kalman filter estimating the states of a linear Gaussian system. It is discussed that Kalman filter is conditionally biased with a non-zero process noise realization in the given state sequence. Recursive parametric CRLBs are obtained for biased estimators for linear state estimators of linear Gaussian systems. Simulation studies are conducted where it is shown that Kalman filter is not an efficient estimator in a conditional sense.
