Bayesian Bhattacharyya bound for discrete-time filtering revisited [Elektronisk resurs]

• In this paper, the derivation of the Bayesian Bhattacharyya bound for discrete-time filtering as proposed ina paper by Reece and Nicholson is revisited. It turns out that the results presented in the aforementioned contribution are incorrect, as some expectations appearing in the information matrix recursions are missing. This paper gives a generalized derivation of the N-th order Bayesian Bhattacharyya bound and presents corrected expressions for the case N = 2. A nonlinear toy example is used to illustrate the results 

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

Bhattacharyya bound

nonlinear filtering

mean square error inequality