A Lower Bound on the Estimation Error for Certain Diffusion Processes

Ben Zion Bobrovsky; Moshe Zakai

doi:10.1109/TIT.1976.1055513

A Lower Bound on the Estimation Error for Certain Diffusion Processes

Ben Zion Bobrovsky^*, Moshe Zakai

^*Corresponding author for this work

School of Electrical Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

A lower bound on the minimal mean-square error in estimating nonlinear diffusion processes is derived. The bound holds for causal and noncausal filtering.

Original language	English
Pages (from-to)	45-52
Number of pages	8
Journal	IEEE Transactions on Information Theory
Volume	22
Issue number	1
DOIs	https://doi.org/10.1109/TIT.1976.1055513
State	Published - Jan 1976

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abstract = "A lower bound on the minimal mean-square error in estimating nonlinear diffusion processes is derived. The bound holds for causal and noncausal filtering.",

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A Lower Bound on the Estimation Error for Certain Diffusion Processes

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