A lower bound on the estimation error for Markov processes
- 1 December 1975
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 20 (6), 785-788
- https://doi.org/10.1109/tac.1975.1101088
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 Cramér-Rao inequality.Keywords
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