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On parametric lower bounds for discrete-time filtering
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Middle East Technical University, Turkey.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
2016 (English)In: 2015 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP), Institute of Electrical and Electronics Engineers (IEEE), 2016, 4338-4342 p.Conference paper, Published paper (Refereed)
Abstract [en]

Parametric Cramer-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.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2016. 4338-4342 p.
Series
International Conference on Acoustics Speech and Signal Processing ICASSP, ISSN 1520-6149
Keyword [en]
Cramer-Rao lower bound, Parametric CRLB, biased estimator, nonlinear filtering, state estimation
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-128631DOI: 10.1109/ICASSP.2016.7472496ISI: 000388373404097ISBN: 978-1-4799-9988-0 (print)OAI: oai:DiVA.org:liu-128631DiVA: diva2:930915
Conference
IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), Shanghai, China, 20-25 March, 2016
Funder
ELLIIT - The Linköping‐Lund Initiative on IT and Mobile CommunicationsSwedish Research Council
Available from: 2016-05-25 Created: 2016-05-25 Last updated: 2017-01-11

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Fritsche, CarstenGustafsson, Fredrik

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf