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Citation

Šimandl, M. and Královec, J. and Tichavský, P. : Filtering, predictive, and smoothing Cramér-Rao bounds for discrete-time nonlinear dynamic systems . Automatica, vol. 11, p. 1703-1716, 2001.

Abstract

Cramér-Rao lower bounds for the discrete-time nonlinear state estimation problem are treated. The Cramér-Rao bound for the mean-square error matrix of a state estimate is particularly important for quality evaluation of nonlinear state estimators as it represents a limit of cognizability of the state. Recursive relations for filtering, predictive, and smoothing Cramér-Rao bounds are derived to establish a unifying framework for several previously published derivation procedures and results. Lower bounds for systems with unknown parameters are newly provided. Computation of filtering, predictive, and smoothing Cramér-Rao bounds, their mutual comparison and utilization for quality evaluation of some nonlinear filters are shown in numerical examples.

Detail of publication

Title: Filtering, predictive, and smoothing Cramér-Rao bounds for discrete-time nonlinear dynamic systems
Author: Šimandl, M. ; Královec, J. ; Tichavský, P.
Language: English
Date of publication: 1 Jan 2001
Year: 2001
Type of publication: Papers in journals
Title of journal or book: Automatica
Číslo vydání: 11
Page: 1703 - 1716
ISBN: 0005-1098
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Keywords

Nonlinear stochastic system, Cramér-Rao bound, State estimation

BibTeX

@ARTICLE{SimandlM_2001_Filtering,
 author = {\v{S}imandl, M. and Kr\'{a}lovec, J. and Tichavsk\'{y}, P.},
 title = {Filtering, predictive, and smoothing Cram\'{e}r-Rao bounds for discrete-time nonlinear dynamic systems},
 year = {2001},
 journal = {Automatica},
 volume = {11},
 pages = {1703-1716},
 ISBN = {0005-1098},
 url = {http://www.kky.zcu.cz/en/publications/SimandlM_2001_Filtering},
}