Error bounds for the nonlinear filtering of signals with small diffusion coefficients

Ben Zion Bobrovsky; Moshe M. Zakai; Ofer Zeitouni

doi:10.1109/9780470544198.ch64

Error bounds for the nonlinear filtering of signals with small diffusion coefficients

Ben Zion Bobrovsky, Moshe M. Zakai, Ofer Zeitouni

School of Electrical Engineering

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

New upper and lower bounds for the nonlinear filtering problem are presented. The lower bounds are especially useful in the region of small diffusion coefficients where previously known bounds are inefficient. The upper and lower bounds are shown to be tight. An example demonstrating the tightness of the bounds is presented.

Original language	English
Title of host publication	Bayesian Bounds for Parameter Estimation and Nonlinear Filtering/Tracking
Publisher	Wiley-IEEE Press
Pages	643-654
Number of pages	12
ISBN (Electronic)	9780470544198
ISBN (Print)	0470120959, 9780470120958
DOIs	https://doi.org/10.1109/9780470544198.ch64
State	Published - 1 Jan 2007

Keywords

Equations
Estimation error
Filtering theory
Random variables
Upper bound

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10.1109/9780470544198.ch64

Cite this

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Error bounds for the nonlinear filtering of signals with small diffusion coefficients

Abstract

Keywords

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