论文信息 - On the tightness of some error bounds for the nonlinear filtering problem

On the tightness of some error bounds for the nonlinear filtering problem

A comparison between the exact filtering error and lower bounds on that error is made using Benes' solution to the nonlinear filtering problem. It is shown that the Bobrovsky-Zakai bound, based upon a version of Cramer-Rao bound, is tight over a range of signal-to-noise ratios of the observation process.

Ofer Zeitouni

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