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Description
  • The idea of utilizing Cramer-Rao lower bounds for performance evaluation of filters for nonlinear discrete-time stochastic systems with Gaussian disturbances is followed. Lower bounds for mean-square errors of filtering, one-step and multi-step predictivestimates are derived in the form of recursive relations. Two different ways of estimating mean-square error matrices based on Monte Carlo simulations are introduced and confronted with Cramer-Rao bounds. Evaluation of estimation quality is demonstrated by a numerical example.
  • The idea of utilizing Cramer-Rao lower bounds for performance evaluation of filters for nonlinear discrete-time stochastic systems with Gaussian disturbances is followed. Lower bounds for mean-square errors of filtering, one-step and multi-step predictivestimates are derived in the form of recursive relations. Two different ways of estimating mean-square error matrices based on Monte Carlo simulations are introduced and confronted with Cramer-Rao bounds. Evaluation of estimation quality is demonstrated by a numerical example. (en)
Title
  • Predictive and filtering lower bounds for nonlinear filters
  • Predictive and filtering lower bounds for nonlinear filters (en)
skos:prefLabel
  • Predictive and filtering lower bounds for nonlinear filters
  • Predictive and filtering lower bounds for nonlinear filters (en)
skos:notation
  • RIV/49777513:23520/99:00042797!RIV/2000/MSM/235200
http://linked.open.../vavai/riv/strany
  • 43
http://linked.open...avai/riv/aktivita
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  • P(GA102/97/0466), P(VS97159), Z(MSM 235200004)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
  • Šimandl, Miroslav
  • Královec, Jakub
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  • 750617
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  • RIV/49777513:23520/99:00042797
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  • [B1BDE3768F92]
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  • Oxford
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  • Roč.^14
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  • Predictive and filtering lower bounds for nonlinear filters
http://linked.open...in/vavai/riv/obor
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http://linked.open...vavai/riv/projekt
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http://linked.open...iv/tvurceVysledku
  • Tichavský, Petr
  • Šimandl, Miroslav
  • Královec, Jakub
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Elsevier Science
https://schema.org/isbn
  • 0-08-043219-0
http://localhost/t...ganizacniJednotka
  • 23520
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