Derivation of a Bayesian Bhattacharyya bound for discrete-time filtering [Elektronisk resurs]

• In this report, the derivation of the Bayesian Bhattacharyya bound for discrete-time filtering as proposed by Reece and Nicholson [1] is revisited. It turns out that the general results presented in [1] are incorrect, as some expectations appearing in the information matrix recursions are missing. This report presents the corrected results and it is argued that the missing expectations are only zero in a number of special cases. A nonlinear toy example is used to illustrate when this is not the case. 

Ämnesord

Engineering and Technology  (hsv)

Electrical Engineering, Electronic Engineering, Information Engineering  (hsv)

Signal Processing  (hsv)

Teknik och teknologier  (hsv)

Elektroteknik och elektronik  (hsv)

Signalbehandling  (hsv)

Indexterm och SAB-rubrik

Bayesian bounds

Bhattacharyya bounds

nonlinear filtering

state estimation