A Lower Bound on the Estimation Error for Markov Processes

Ben Zion Bobrovsky; Moshe Zakai

doi:10.1109/TAC.1975.1101088

A Lower Bound on the Estimation Error for Markov Processes

Ben Zion Bobrovsky, Moshe Zakai

School of Electrical Engineering

Technion-Israel Institute of Technology

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

70 Scopus citations

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 Cramer-Rao inequality.

Original language	English
Pages (from-to)	785-788
Number of pages	4
Journal	IEEE Transactions on Automatic Control
Volume	20
Issue number	6
DOIs	https://doi.org/10.1109/TAC.1975.1101088
State	Published - 1975

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A Lower Bound on the Estimation Error for Markov Processes

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